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

Financial Innovation

Table 4 CARs of Continuously Falling Prices and K ≤ 20 emitted (2009–2015)

Holding days	KOSPI 50			SSE 50
Holding days	N	Mean	t-test	N	Mean	t-test
Panel A: CARs of continuously falling prices and K ≤ 20 emitted
Panel A1: Continuously falling prices and K ≤ 20 for 2 days
1	513	0.0010	0.929	439	0.0021	1.907*
2	512	0.0031	2.137**	439	0.0046	2.514**
3	512	0.0050	2.904***	437	0.0065	3.087***
4	511	0.0069	3.647***	437	0.0075	2.977***
5	511	0.0096	4.595***	437	0.0103	3.830***
Panel A2: Continuously falling prices and K ≤ 20 for 3 days
1	123	0.0027	1.342	108	0.0001	0.037
2	123	0.0034	1.185	108	0.0024	0.519
3	123	0.0046	1.406	108	0.0015	0.239
4	123	0.0082	2.301**	108	0.0066	1.007
5	122	0.0085	2.145**	108	0.0109	1.635
Panel A3: Continuously falling prices and K ≤ 20 for 4 days
1	48	0.0014	0.415	32	0.0062	1.307
2	48	0.0075	1.638	32	0.0104	1.094
3	48	0.0097	2.019**	32	0.0177	2.026*
4	48	0.0171	3.557***	32	0.0283	2.845***
5	48	0.0166	2.931***	32	0.0341	2.925***

Holding days	KOSPI 50			SSE 50
Holding days	N	Mean	t-test	N	Mean	t-test
Panel B CARs of continuously falling prices and RSI ≤ 30 emitted
Panel B1: Continuously falling prices and RSI ≤ 30 for 2 days
1	272	0.0002	0.121	269	0.0021	1.353
2	272	0.0024	1.262	269	0.0042	1.662*
3	272	0.0057	2.543**	269	0.0089	3.131***
4	272	0.0069	2.799***	269	0.0078	2.468**
5	272	0.0085	3.009***	269	0.0096	2.827***
Panel B2: Continuously falling prices and RSI ≤ 30 for 3 days
1	58	0.0021	0.622	75	0.0032	1.166
2	58	0.0045	1.214	75	0.0073	1.683*
3	58	0.0058	1.374	75	0.0095	1.874*
4	58	0.0093	1.995*	75	0.0133	2.099**
5	58	0.0110	2.010**	75	0.0152	2.181**
Panel B3: Continuously falling prices and RSI ≤ 30 for 4 days
1	15	0.0051	1.168	31	0.0105	2.409**
2	15	0.0077	1.330	31	0.0044	0.950
3	15	0.0052	0.648	31	0.0014	0.230
4	15	0.0077	0.838	31	0.0088	1.267
5	15	0.0079	0.685	31	0.0163	2.008*

We investigate whether the CARs, including 1-, 2-, 3-, 4-, and 5-days CARs, would be different from 0 if investors take the long positions on the constituent stocks of KOSPI 50 and SSE 50 as either continuously falling 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