RT Journal Article
SR Electronic
T1 Market Breadth, Trin Statistic,and Market Returns
JF The Journal of Investing
FD Institutional Investor Journals
SP 65
OP 73
DO 10.3905/joi.2008.701962
VO 17
IS 1
A1 Min Qi
A1 Xinlei Zhao
YR 2008
UL https://pm-research.com/content/17/1/65.abstract
AB This article investigates the predictability and profitability of two technical indicators that have been well known to practicing analysts for a long time but have yet to be thoroughly examined in the literature: the market breadth and the trin statistic. We find that these indicators show strong predictive power for returns in the near future, but the predictability does weaken drastically or even disappear in the most recent decade. We also investigate profits of the trading strategies based on these indicators and find that they stem mainly from frequent trading. These indicators may present profitable opportunities for investors who can trade small stocks with low transaction costs.TOPICS: Analysis of individual factors/risk premia, statistical methods, technical analysis