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

Financial Innovation

Table 7 CARs of continuously rising prices and K ≥ 80 (RSI ≥ 70) emitted (2016–2019)

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	389	− 0.09%	− 0.876	271	− 0.11%	− 0.79100
2	389	− 0.09%	− 0.596	271	− 0.12%	− 0.57000
3	389	− 0.19%	− 1.149	271	− 0.22%	− 0.86100
4	389	− 0.22%	− 1.194	271	− 0.27%	− 1.00400
5	389	− 0.15%	− 0.746	271	− 0.31%	− 1.09300
Panel A2 Continuously rising prices and K ≥ 80 for 3 days
1	99	− 0.21%	− 1.186	69	− 0.05%	− 0.14700
2	99	− 0.70%	− 3.674***	69	− 0.49%	− 1.13800
3	99	− 0.54%	− 2.381**	69	− 0.81%	− 1.54300
4	99	− 0.21%	− 0.733	69	− 0.84%	− 1.41100
5	99	− 0.16%	− 0.556	69	− 0.67%	− 1.07900
Panel A3: Continuously rising prices and K ≥ 80 for 4 days
1	38	− 0.37%	− 1.66	25	0.08%	0.14500
2	38	− 0.25%	− 0.635	25	− 1.10%	− 1.51200
3	38	− 0.40%	− 0.835	25	− 1.37%	− 1.55400
4	38	− 0.32%	− 0.795	25	− 0.72%	− 0.81600
5	38	− 0.37%	− 0.729	25	− 0.74%	− 0.82900

Holding days	KOSPI50			SSE50
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	241	− 1.36%	− 1.008	295	− 0.21%	− 1.66700*
2	241	− 1.27%	− 0.933	295	− 0.20%	− 1.04600
3	241	− 0.98%	− 0.717	295	− 0.40%	− 1.75900*
4	241	− 0.99%	− 0.724	295	− 0.44%	− 1.79300*
5	241	− 0.96%	− 0.698	295	− 0.60%	− 2.25000**
Panel B2: Continuously rising prices and RSI ≥ 70 for 3 days
1	51	− 0.08%	− 0.304	87	− 0.25%	− 0.86500
2	51	− 0.28%	− 0.849	87	− 0.39%	− 0.99300
3	51	− 0.35%	− 0.843	87	− 0.62%	− 1.35800
4	51	− 0.84%	− 1.775*	87	− 0.98%	− 1.67400*
5	51	− 0.80%	− 1.585	87	− 0.70%	− 1.06700
Panel B3: Continuously rising prices and RSI ≥ 70 for 4 days
1	14	− 0.19%	− 0.304	17	− 0.75%	− 0.80600
2	14	− 0.31%	− 0.241	17	− 1.85%	− 2.22000**
3	14	− 0.05%	− 0.037	17	− 2.87%	− 3.32400***
4	14	− 0.74%	− 0.843	17	− 2.63%	− 3.06500***
5	14	− 0.35%	− 0.312	17	− 2.24%	− 2.39400**

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