آیا تجزیه و تحلیل فنی در بازار سهام که دارای ویژگی های که نشان می دهد ممکن است ناکارآمد باشد سودآور است؟

This paper considers the returns to technical analysis on the New Zealand stock market. The small nature, short-selling constraints, lack of analyst coverage, and loose insider trading regulation suggest that the New Zealand equity market may be less efficient than overseas markets. This raises the possibility that technical analysis is still profitable in New Zealand. Using a bootstrapping technique with common null models for stock returns and 12 popular technical trading rules, we find that the returns to technical analysis in New Zealand follow a similar pattern to those in large offshore markets. Technical analysis is no longer profitable.

Technical analysis, which uses past price movements to predict future price movements, is diametrically opposed to market efficiency (e.g., Fama, 1970). In theory, technical analysis has no value if prices are weak-form efficient. Early studies of technical analysis by Fama and Blume (1966) and Jensen and Bennington (1970) find that technical rules are unable to reliably predict future returns. However, several more recent studies find the opposite. Brock et al. (1992) demonstrate that a relatively simple set of technical trading rules possess significant forecast power for changes in the Dow Jones Industrial Average (DJIA) over the 1897–1986 period. Numerous studies replicate the Brock et al. (1992) result on other stock markets. Hudson et al. (1996), Bessembinder and Chan (1995), and Detry and Gregoire (2001) find the trading rules produce profits over and above a buy-and-hold strategy on the FTSE 30 index, Asian indices, and European indices, respectively. Studies that re-test Brock et al.'s (1992) technical trading rules using US data document, a decline in their profitability over time. LeBaron (2000) uses the same data as Brock et al. (1992), but adds another 10 years from 1988 to 1999 (to avoid the 1987 crash). For the later period, he finds that the returns following a buy signal are not significantly larger than the returns following a sell signal. Ready (2002) extends the Brock et al. (1992) data to 2000 (he included 1987) and finds a similar result. Finally, Kwon and Kish (2002) apply Brock et al.'s (1992) rules to the CRSP, NYSE, and Nasdaq indices and also find weakening profits over time. A decline in the profitability of well-documented technical trading rules over time is not unexpected. Once investors become aware that a particular rule can generate trading profits, investors will likely trade away their profitability. Advances in informational technology and the increased ease at which these strategies can be implemented is another explanation for this trend. This paper considers the changes in the returns to the Brock et al. (1992) technical trading rules on the New Zealand Stock Exchange (NZX) over the 1970–2002 period. The NZX has characteristics that suggest it may not be as efficient as markets where technical trading rules have been previously tested so it is an interesting laboratory for such tests. The NZX is a very small market. Its market capitalisation on 31 December 2002 was NZD 41.5 billion compared to NZD 18.9 trillion for the NYSE.2 The NZX is very similar in size to the emerging markets of Hungary and the Czech Republic. It is slightly bigger than Pakistan, and slightly smaller than Poland and Indonesia. Its size and isolation from major markets means that hedge funds and other professional investors may have less incentive to trade away inefficiencies on the NZX than much larger markets. In addition, short-selling is prohibited on the NZX. This also creates an environment where inefficiencies are more likely to persist (Wang and Cheng, 2004). The unique rules in New Zealand regarding insider trading are a second reason why technical trading rules may be more profitable on the NZX. Until 1 December 2002, the last month in our sample, only substantial shareholders (those shareholders with over 5% of the company's shares) were required to disclose their trading in a timely fashion and even then only when their holdings had changed by a cumulative 1%, since the previous disclosure. Company directors were required to disclose their trading in the annual report, while executives who were non-board members were not required to disclose their trading at all. There is substantial evidence from the US (e.g., Jaffe, 1974 and Seyhun, 1992) that insiders make abnormally large returns from their trades, so timely knowledge of their trading can be a valuable commodity. In addition, Khanna et al. (1994) find that insider trading crowds out costly private information acquisition by outside investors because their payoffs are reduced. Together, this evidence suggests that NZX investors have more reason to use technical analysis, since large price movements, which are picked up by many common technical trading rules, may be the first and only indication of the actions of informed insiders. Further, the smaller nature of the NZX and New Zealand insider trading regulation also mean that there is less incentive for analysts to cover stocks than in larger markets (Bushman et al., 2005). There is substantial evidence (e.g., Womack, 1996 and Jegadeesh, 2004) that analyst's forecasts help inform the market about a company's prospects. The lack of analyst coverage raises the possibility that the price of NZX stocks react to information more slowly resulting in trends that can be successfully captured by technical trading rules. A final interesting feature of the NZX is the fact that over the period of our study, the market underwent rapid and significant deregulation. Prior to 1984, the New Zealand economy was highly regulated. Interest rates and exchange rates were controlled by the Government, and all capital flows into and out of the country had to be approved by the Government. Following the change of Government on 14 July 1984, New Zealand began a dramatic shift towards becoming a market-based economy. The reforms undertaken have been labelled by Henderson (1995, p. 61) as “one of the most notable episodes of liberalisation that history has to offer.” Both the breadth and the pace of the reforms3 in New Zealand differentiate them from those undertaken in other countries. Within 12 months, interest rate and foreign exchange controls were abolished, the New Zealand dollar was floated, and programs to remove all major export incentives, reduce import protection, and remove limits on foreign ownership of New Zealand financial institutions were announced. We break the period of our study into three distinct sub-periods to allow us to examine the change in profitability of technical analysis rules over time. By choosing three periods of equal length, we are to consider the decade prior to financial market reforms (period 1), the period of financial market reforms (period 2), and the period after financial market reforms (period 3). This paper is organized as follows: Section 2 outlines the technical trading rules used to test market efficiency. Data and methodology are presented in Section 3. Section 4 contains the results and Section 5 concludes the paper.

The New Zealand stock market has several characteristics that suggest it may be less efficient than its international counterparts. The market is small (it is similar in size to the emerging markets of Hungary and the Czech Republic, being slightly bigger than Pakistan, and slightly smaller than Poland and Indonesia) and short-selling is prohibited. This gives hedge funds less incentive to enter the market and trade away inefficiencies. In addition, insider trading regulation in New Zealand is loose by international standards, which means that uniformed investors have more incentive to follow market movements as they could reflect the trading of insiders. Finally, analyst coverage is lower in New Zealand. This also suggests that the market may be less informed about the true fundamental value of companies. We find strong evidence that there has been an increase in informational efficiency in the New Zealand equity market over the last 33 years. Using a bootstrapping technique with four common null models for stock market returns (random walk, AR(1), GARCH-M, and EGARCH), we statistically test the significance of the profits generated by 12 common technical trading rules in three 11 year sub-periods. In the first period (1 January 1970 to 31 December 1980), we find that the profit generated by applying the rules to the original series are generally significant. Consequently, we reject the null models for most rules. We conclude that in this period, the New Zealand stock market was not informationally efficient. In contrast, in the most recent period (1 January 1992 to 31 December 2002), we fail to reject the null models for the return generating process, and therefore conclude that the market is efficient. These results suggest that the unique characteristics of the New Zealand equity market, its small nature, its lack of analyst coverage, and its loose insider trading regulation have not resulting in inefficiency persisting to recent times. Rather, consistent with more developed larger markets, simple technical trading strategies are no longer able to add value for investors in New Zealand. There are several avenues for future research. Other technical trading rules, such as the more complex moving average rules proposed by Wong et al. (2003) could be tested to see if they are more profitable on the New Zealand market. The dangers of data snooping are ever present, so it is important to test common rules that have not been specifically tailored to the New Zealand time series in question. Secondly, researchers might like to investigate whether fundamental variables (such as the P/E ratio and bond yield as proposed by Wong et al. (2001)) have predictive power in the New Zealand market. Finally, other emerging markets of similar size, such as Hungary, Czech Republic, Pakistan, Poland, and Indonesia could be investigated to see if they yield similar results to New Zealand.