Can investors profit by utilizing technical trading strategies? Evidence from the Korean and Chinese stock markets

Financial Innovation

Table 3 CARs of continuously rising prices and K ≥ 80 (RSI ≥ 70) emitted (2009–2015)

Holding days	KOSPI 50			SSE 50
Holding days	N	Mean	t-test	N	Mean	t-test
Panel A: Continuously rising prices and K ≥ 80 emitted
Panel A1: Continuously rising prices and K ≥ 80 for 2 days
1	473	− 0.0020	− 2.432**	324	0.0010	0.657
2	473	− 0.0052	− 4.028***	324	− 0.0012	− 0.483
3	473	− 0.0039	− 2.646***	324	0.0033	1.017
4	472	− 0.0051	− 3.061***	324	0.0055	1.495
5	472	− 0.0051	− 2.940***	324	0.0072	1.719*
Panel A2 Continuously rising prices and K ≥ 80 for 3 days
1	116	− 0.0002	− 0.125	91	0.0017	0.375
2	116	− 0.0024	− 0.995	91	0.0059	0.938
3	116	− 0.0032	− 1.085	91	0.0052	0.711
4	116	− 0.0038	− 1.287	91	0.0011	0.120
5	116	− 0.0036	− 1.149	91	0.0038	0.400
Panel A3: Continuously rising prices and K ≥ 80 for 4 days
1	35	− 0.0028	− 0.747	25	0.0043	0.752
2	35	− 0.0090	− 1.698*	25	0.0011	0.142
3	35	− 0.0118	− 2.447**	25	− 0.0074	− 0.779
4	35	− 0.0116	− 2.380**	25	0.0035	0.261
5	35	− 0.0054	− 0.821	25	0.0143	1.021

Holding days	KOSPI 50			SSE 50
Holding days	N	Mean	t-test	N	Mean	t-test
Panel B CARs of continuously rising prices and RSI ≥ 70 emitted
Panel B1: Continuously rising prices and RSI ≥ 70 for 2 days
1	283	− 0.0029	− 2.800***	402	0.0030	1.656*
2	283	− 0.0053	− 3.562***	402	0.0037	1.347
3	283	− 0.0072	− 4.179***	401	0.0068	2.045**
4	282	− 0.0067	− 3.152***	401	0.0095	2.554**
5	282	− 0.0069	− 2.940***	401	0.0093	2.187**
Panel B2: Continuously rising prices and RSI ≥ 70 for 3 days
1	53	− 0.0028	− 1.330	103	0.0050	1.194
2	53	− 0.0060	− 1.561	103	0.0089	1.412
3	53	− 0.0085	− 1.597	103	0.0132	1.736*
4	53	− 0.0080	− 1.331	103	0.0191	2.058**
5	53	− 0.0067	− 1.201	103	0.0228	2.390**
Panel B3: Continuously rising prices and RSI ≥ 70 for 4 days
1	15	0.0018	0.394	27	0.0001	0.006
2	15	− 0.0029	− 0.594	27	0.0135	1.009
3	15	− 0.0056	− 0.964	27	0.0190	1.134
4	15	0.0003	0.051	27	0.0279	1.544
5	15	− 0.0065	− 1.023	27	0.0272	1.440

We investigate whether the CARs, including 1-, 2-, 3-, 4-, and 5-day CARs, would be different from 0 if investors take the long positions (We present the results of taking long positions only because the results of taking a short position are opposite to the results of taking a long position) on the constituent stocks of KOSPI 50 and SSE 50 as continuously rising prices for 2, 3, and 4 days occurred. We also present the statistics of t-tests for these CARs. In addition, *, **, and *** represent 10%, 5%, and 1% significance levels, respectively