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2.6 References
Bessembinder, H. and K. Chan. 1995. “The Profitability of Technical Trading Rules in the Asian Stock Markets.” Pacific-Basin Finance Journal 3: 257–84. Bhojraj, S. and B. Swaminathan. 2006. “Macro Momentum: Returns Predictability in International Equity Indices.” Journal of Business 79: 429-451. Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance 47: 1731-1764. Chiang, T.C. and D. Zheng. 2010. “An Empirical Analysis of Herd Behavior in Global Stock Markets.” Journal of Banking and Finance 34: 1911–1921. Chiang, Y.C., M.C. Ke, T.L. Liao, and C.D. Wang. 2012. “Are Technical Trading Strategies Still Profitable? Evidence from the Taiwan Stock Index Futures Market. ” Applied Financial Economics 22(12): 955-965. Chopra, N., J. Lakonishok, and J.R. Ritter. 1992. “Measuring Abnormal Performance: Do Stocks Overreact.” Journal of Financial Economics 31: 235–268. Chou, Tsung-Nan, Ting-Yi Cheng, and Hung-Chih Wang. 2013. “Apply Evidential Reasoning Approach with Emotional Intelligence in TAIEX Futures Trading Strategies” Journal of Financial Review 19:55-71. Chuang, W.I. and B.S. Lee. 2006. “An Empirical Evaluation of the Overconfidence Hypothesis.” Journal of Banking and Finance 30: 2489-2515. Clare, A. and Thomas, S. 1995. “The Overreaction Hypothesis and the UK Stock Market.” Journal of Business Finance & Accounting 22: 961–73. Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. “A Theory of Overconfidence, Self-attribution, and Security Market under- and Overreaction.” Journal of Finance 53: 1839-1886. De Bondt, W.F.M. and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40: 793–805. De Bondt, W.F.M. and R. Thaler. 1987. “Further Evidence on Investor Overreaction and Stock Market Seasonality.” Journal of Finance 42: 557–581. Delong, J.B. A. Shleifer, L.H. Summers, and R.J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45: 379-395. Fama, E.F. 1965. “The Behavior of Stock Market Prices.” Journal of Business 38: 34-105. Fama, E.F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25: 383-417. Friesen, G.C., P.A. Weller, and L.M. Dunham. 2009. “Price Trends and Patterns in Technical Analysis: A Theoretical and Empirical Examination.” Journal of Banking and Finance 33: 1089–1100. George, T. J. and C.-Y. Hwang. 2004. "The 52-Week High and Momentum Investing." Journal of Finance 59: 2145-2176. Hong, H. and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance 54: 2143-2184. Lento, C., N. Gradojevic, and C. Wright. 2007. “Investment Information Content in Bollinger Bands?” Applied Financial Economics Letters 3(4): 263-267. McKenzie, M. D. 2007. Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises. Emerging Markets Finance and Trade 43(4): 46-73. Muga, L. and Santamaria, R. 2007. The Momentum Effect in Latin American Emerging Markets. Emerging Markets Finance and Trade 43(4): 24-45. Naughton, T., C. Truong, and M. Veeraraghavan. 2008. “Momentum Strategies and Stock Returns: Chinese Evidence.” Pacific-Basin Finance Journal 16(4): 476-492. Ni, Y., Y. C. Liao, and P. Huang. 2015. “MA Trading Rules, Herding Behaviors, and Stock Market Overreaction.” International Review of Economics and Finance 39: 253–265. Shen, L. and H.T. Loha. 2004. “Applying Rough Sets to Market Timing Decisions.” Decision Support Systems 37: 583–597 Shen, Q., A.C. Szakmary, and S.C. Sharma. 2005. “Momentum and Contrarian Strategies in International Stock Markets: Further Evidence.” Journal of Multinational Financial Management 15: 235-255. Shynkevich, A. 2012. “Performance of Technical Analysis in Growth and Small Cap Segments of the US Equity Market.” Journal of Banking and Finance 36: 193–208 Tan, L., T.C. Chiang, J.R. Mason, and E. Nelling. 2008. “Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares.” Pacific-Basin Finance Journal 16: 61–77 Wang, J., B.M. Burton, and D.M. Power. 2004. “Analysis of the Overreaction Effect in the Chinese Stock Market.” Applied Economics Letters 47: 173-144. Wang, Z.M., C. Chiao, and Y.T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24: 109–128 Zhou, H., Geppert, J., and Kong, D. 2010. “An Anatomy of Trading Strategies: Evidence from China.” Emerging Markets Finance and Trade 46(2): 66-79.
3.6 References Abarbanell, J. S. and V. L. Bernard. 1992. “Tests of Analysts'' Overreaction /Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior.” Journal of Finance 47(3):1181-1207. Ackert, L. F., B. Church, and A. B. Gillette. 2004. “Immediate Disclosure or Secrecy? the Release of Information in Experimental Asset Markets.” Financial Markets, Institutions and Instruments 13(5):219-243. Alti, A., and P. C. Tetlock. 2014. “Biased Beliefs, Asset Prices, and Investment: A Structural Approach.” Journal of Finance 69(1):325-361. Barroso, P. and P. Santa-Clara. 2015. “Momentum Has Its Moments.” Journal of Financial Economics 116(1):111–120 Bessembinder, H. and K. Chan. 1995. “The Profitability of Technical Trading Rules in the Asian Stock Markets.” Pacific-Basin Finance Journal 3:257-84. Bhojraj, S. and B. Swaminathan. 2006. “Macromomentum: Returns Predictability in International Equity Indices.” Journal of Business 79(1):429-451. Bigalow, S. W. 2011. Profitable Candlestick Trading: Pinpointing Market Opportunities to Maximize Profits. John Wiley & Sons Publishing. Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance 47: 1731-1764. Brown, N. C., K. D. Wei, and R. Wermers. 2013. “Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices.” Management Science 60(1): 1-20. Chan, W. S. 2003. “Stock Price Reaction to News and No-news: Drift and Reversal after Headlines.” Journal of Financial Economics 70(2):223-260. Chiang, Y. C., M. C. Ke, T. L. Liao, and C. D. Wang. 2012. “Are Technical Trading Strategies Still Profitable? Evidence from the Taiwan Stock Index Futures Market.” Applied Financial Economics 2(12): 955-965. Chiang, T. C. and D. Zheng. 2010. “An Empirical Analysis of Herd Behavior in Global Stock Markets.” Journal of Banking and Finance 34:1911-1921. Chopra, N., J. Lakonishok, and J. R. Ritter. 1992. “Measuring Abnormal Performance: Do Stocks Overreact?” Journal of Financial Economics 31:2:235-268. Chou, Tsung-Nan, Ting-Yi Cheng and Hung-Chih Wang. 2013. “Apply Evidential Reasoning Approach with Emotional Intelligence in TAIEX Futures Trading Strategies” Journal of Financial Review 19:55-71 Chuang, W. I. and B. S. Lee. 2006. “An Empirical Evaluation of the Overconfidence Hypothesis.” Journal of Banking and Finance 30:2489-2515. Clare, A. and S. Thomas. 1995. “The Overreaction Hypothesis and the UK Stock market.” Journal of Business Finance and Accounting 22(7):961-973. Coutts, J. A. and K. C. Cheung. 2000. “Trading Rules and Stock Returns: Some Preliminary Short Run Evidence from the Hang Seng 1985-1997.” Applied Financial Economics 10(6):579-586. Cronqvist, H., S. Siegel, and F. Yu. 2015. “Value versus Growth Investing: Why Do Different Investors have Different Styles?” Journal of Financial Economics 117(2):333-349. Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. “A Theory of Overconfidence, Self-attribution, and Security Market Under- and Overreaction.” Journal of Finance 53:1839-1886. DeBondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40:793-808. DeBondt, W. F. M. and R. Thaler. 1987. “Further Evidence on Investor Overreaction and Stock Market Seasonality.” Journal of Finance 42:557-581. DeMiguel, V., F. J. Nogales, and R. Uppal. 2014. “Stock Return Serial Dependence and Out-of-sample Portfolio Performance.” Review of Financial Studies 27:4: 1031-1073. Fama, E. F. 1965. “The Behavior of Stock Market Prices.” Journal of Business 38: 34-105. Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25:383-417. Fama, E. F. 1991. “Efficient Capital Markets: II.” Journal of Finance 46(5): 1575-1617. Fama, E. F. 1998. “Market Efficiency, Long-term Returns, and Behavioral Finance.” Journal of Financial Economics 49(3):283–306. Fock, J. H., C. Klein, and B. Zwergel. 2005. “Performance of Candlestick Analysis on Intraday Futures Data.” Journal of Derivatives 13(1):28-40. George, T. J. and C. Y. Hwang. 2004. “The 52‐week High and Momentum Investing.” Journal of Finance 59:5:2145-2176. Hong, H., and Stein, J. C. (1999). “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance 54:2143-2184. Jegadeesh, N. 1990. “Evidence of Predictable Behavior of Security Returns.” Journal of Finance 45(3):881-898. Jegadeesh, N. and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 48(1):65-91. Kwon, K. Y. and R. J. Kish. 2002. “Technical Trading Strategies and Return Predictability: NYSE.” Applied Financial Economics 12(9):639-653. Lehmann, B. 1990. “Fads, Martingales, and Market Efficiency.” Quarterly Journal of Economics 60:1-28. Lento, C., N. Gradojevic, and C. Wright. 2007. “Investment Information Content in Bollinger Bands?” Applied Financial Economics Letters 3(4):263-267. Li, J. and J. Yu. 2012. “Investor Attention, Psychological Anchors, and Stock Return Predictability.” Journal of Financial Economics 104(2): 401-419. Lo, A. W. and A. C. MacKinlay. 1990. “When are Contrarian Profits due to Stock Market Overreaction?” Review of Financial studies 3(2):175-205. Loh, E. Y. 2007. “An Alternative Test for Weak form Efficiency Based on Technical Analysis.” Applied Financial Economics 17(12):1003-1012. Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45(2):379-395. McKnight, P. J. and S. K. Todd. 2006. “Analyst Forecasts and the Cross Section of European Stock Returns.” Financial Markets, Institutions and Instruments 15(5): 201-224. McKenzie, M. D. 2007. “Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises.” Emerging Markets Finance and Trade 43(4):46-73. Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104(2):228-250. Muga, L. and R. Santamaria. 2007. “The Momentum Effect in Latin American Emerging Markets.” Emerging Markets Finance and Trade 43(4):24-45. Naughton, T., C. Truong, and M. Veeraraghavan. 2008. “Momentum Strategies and Stock Returns: Chinese Evidence.” Pacific-Basin Finance Journal 16(4):476-492. Ni, Y., Y. C. Liao, and P. Huang. 2015. “MA Trading Rules, Herding Behaviors, and Stock Market Overreaction.” International Review of Economics and Finance 39: 253–265. Ni, Y., Y. C. Liao, and P. Huang. 2015. “Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators.” Emerging Markets Finance and Trade 51(1):99–110. Park, S. C. 2010. “The Moving Average Ratio and Momentum.” Financial Review 45(2):415-447. Rozeff, M. S. and M. A. Zaman. 1998. “Overreaction and Insider Trading: Evidence from Growth and Value Portfolios.” Journal of Finance 53: 701-716. Savor, P. G. 2012. “Stock Returns after Major Price Shocks: The Impact of Information.” Journal of Financial Economics 106(3): 635-659. Shen, L. and H. T. Loha. 2004. “Applying Rough Sets to Market Timing Decisions.” Decision Support Systems 37:583-597. Shen, Q., A. C. Szakmary, and S. C. Sharma. 2005. “Momentum and Contrarian Strategies in international Stock Markets: Further Evidence.” Journal of Multinational Financial Management 15(3):235-255. Shen, Q., A. C. Szakmary, and S. C. Sharma. 2007. “An Examination of Momentum Strategies in Commodity Futures Markets.” Journal of Futures Markets 27(3): 227-256. Szakmary, A. C. and M. C. Lancaster. 2015. “Trend-following Trading Strategies in U.S. Stocks: A Revisit.” Financial Review 50:221–255. Szakmary, A. C., Q. Shen, and S. C. Sharma. 2010. “Trend-following Trading Strategies in Commodity Futures: A Re-examination.” Journal of Banking and Finance 34(2):409-426. Tan, L., T. C. Chiang, J. R. Mason, and E. Nelling. 2008. “Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares.” Pacific-Basin Finance Journal 16:61-77. Vega, C. 2006. “Stock Price Reaction to Public and Private Information.” Journal of Financial Economics 82(1):103-133. Wang, J., B. M. Burton, and D. M. Power. 2004. “Analysis of the Overreaction Effect in the Chinese Stock Market.” Applied Economics Letters 47:173-144. Wang, Z. M., C. Chiao, and Y. T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24:109-128. Wu, Y. 2011. “Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market.” Review of Quantitative Finance and Accounting 37(3):301-323. Zhou, H., J. Geppert, and D. Kong. 2010. “An Anatomy of Trading Strategies: Evidence from China.” Emerging Markets Finance and Trade 46(2):66-79.
References DeBondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40:793-808. Shen, L. and H. T. Loha. 2004. “Applying Rough Sets to market timing decisions.” Decision Support Systems 37:583-597. Wang, Z. M., C. Chiao, and Y. T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24:109-128.
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