适应性市场假说:来自中国商品期货市场的证据  

Adaptive Markets Hypothesis:Evidence from Chinese Commodity Futures Market

作　　者：宋庆阳[1] 周孝华[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400030

出　　处：《统计与信息论坛》2014年第7期59-64,共6页Journal of Statistics and Information

基　　金：国家社会科学基金重大项目<金融产业经济学研究>(11&ZD141)

摘　　要：适应性市场假说认为交易策略随交易者行为适应环境变化而演化。研究10种技术交易策略在中国商品期货上的业绩表现,来检验是否符合适应性市场假说。实证结果显示简单知名的策略如MACD、RSI、BOLL、MA+MACD平均收益为负,复杂冷门的策略如MA组合、KD、SAR、ADX+KD、MA(5,20)、ATR平均收益显著为正,且交易策略绩效随价格趋势周期性波动。总之,技术交易规则超额收益在中国商品期货市场依然存在,结论和适应性市场假说一致。The Adaptive Markets Hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances .T his paper studies the performance of ten different technical trading strategies base on Chinese commodity futures ,to test whether the result accord with the Adaptive Markets Hypothesis .The empirical results show that the average returns of simple and known strategies such as MACD、RSI、BOLL、MA ＋ MACD are negative ,while the average returns of complex and uncommon strategies such as MA portfolio、KD、SAR、ADX＋ KD、MA（5 ,20）、ATR are positive significantly ,further more ,the performance of trading strategies periodically fluctuate as price trend . Overall ,trading rule excess returns still exist in Chinese commodity futures markets ,the result is consistent with the Adaptive Markets Hypothesis .

关 键 词：商品期货 技术分析 技术交易 适应性市场假说 

分 类 号：F830.91[经济管理—金融学]