有关中国股票市场技术分析有效性研究..doc

有关中国股票市场技术分析有效性研究 摘 要：至今，中国股市已经走过了21年的历史。在这二十年里，我们见证了中国股市的成长，各种投资理论也在中国得到运用和发展。不同的投资者运用不同的投资理论进行股票投资，他们之间存在着各种投资方法优劣的争论，尤其是技术分析有效性的争论更是由来已久。学院派更是对技术分析嗤之以鼻，“有效市场理论”便是学院派信奉的投资思想。“有效市场理论”认为：如果市场是弱式有效的，则过去的历史价格信息已完全反映在当前的价格中，未来的价格变化将与当前及历史价格无关，这时使用技术分析和图表分析当前及历史价格对未来作出预测将是徒劳的。如果不运用进一步的价格序列以外的信息，明天价格最好的预测值将是今天的价格。因此在弱式有效市场中，技术分析将失效。本文采取务实的方法，依据上证指数的历史价格数据，采用技术指标：MA和KDJ指标来制定交易策略进行历史检验。结果发现，以纯技术分析为基础的交易策略能够在中国股市获利，即技术分析在中国股市是有效的，进而反证了 “有效市场理论”的不足。论文最后对技术分析的方法进行了总结，提出了技术分析的不足和改进方法，为投资者提出了投资建议。 关键词：技术分析 股票投资 Abstract：Until now, the Chinese Stock market had already passed through 20 year history. In this 20 years, our testimony China Stock markets growth, each kind of investment theory also obtained the utilization and the development in China. The different investor utilizes the different investment theory to carry on the stock investment, between them has each kind of capitalized method fit and unfit quality the argument, particularly the technical analysis valid argument is long-standing. The academism is snorts contemptuously to the technical analysis, “the effective market theory” is the investment thought which the academism believes. “the effective market theory” thought: If the market is weak -like is effective, then past history price information had reflected completely in the current price, future change of price will have nothing to do with current and the historical price, by now used the technical analysis and the graph analysis current and the historical price makes the forecast for the future will be the futile effort. If does not utilize outside the further price sequence the information, tomorrow the price best predicted value will be todays price. Therefore in the weak -like effective market, the technical analysis will expire. This article adopts the practical method, the basis Shanghai Composite Index and the Shenzhen Stock Cheng Zhi historical price data, uses two kind of technical specifications: macd and the kdj target formulates the transa