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Performance of intraday technical trading in China’s gold market

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  • Jin, Xiaoye

Abstract

This paper investigates the predictive power of intraday technical trading in China’s gold market. We conduct this study by employing a 5-min intraday data from the most active futures contract listed on the Shanghai Futures Exchange covering the period spanning from 12th March 2018 to 10th March 2021. Our empirical evidence suggests that after comprehensively considering data snooping, transaction costs, market conditions, and frequencies of portfolio rebalancing, investors are unlikely to choose technical trading rules that persistently yield attractive out-of-sample performance, indicating that the predictive power of intraday technical trading in China’s gold market is illusory.

Suggested Citation

  • Jin, Xiaoye, 2022. "Performance of intraday technical trading in China’s gold market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876
    DOI: 10.1016/j.intfin.2021.101481
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    More about this item

    Keywords

    China’s gold market; Technical analysis; Data snooping bias; Transaction costs; Intraday predictability;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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