Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period
In contrast to finding better monthly performance shown in a specific month, such as the January effect (i.e., better stock price performance in January as opposed to other months), which has been extensively studied, the goal of this study is to determine whether investors would obtain better subse...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-01-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/12/2/356 |
| _version_ | 1797343022774484992 |
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| author | Chien-Liang Chiu Paoyu Huang Min-Yuh Day Yensen Ni Yuhsin Chen |
| author_facet | Chien-Liang Chiu Paoyu Huang Min-Yuh Day Yensen Ni Yuhsin Chen |
| author_sort | Chien-Liang Chiu |
| collection | DOAJ |
| description | In contrast to finding better monthly performance shown in a specific month, such as the January effect (i.e., better stock price performance in January as opposed to other months), which has been extensively studied, the goal of this study is to determine whether investors would obtain better subsequent performance as technical trading signals emitted in a specific month because, from the investment perspective, investors purchasing stocks now would not know their performance until later. We contend that our analysis emphasizes its critical role in steering investment decisions and enhancing profitability; nonetheless, this issue appears to be overlooked in the relevant literature. As such, utilizing big data to analyze the constituent stocks of the DJI 30 and NDX 100 indices from 2003 to 2022 (i.e., two-decade data), this study investigates whether trading these stocks as trading signals emitted via contrarian regulation of stochastic oscillator indicators (SOIs) and the relative strength index (RSI) in specific months would result in superior subsequent performance (hereafter referred to as “monthly effects”). This study discovers that the oversold signals generated by these two contrarian regulations in March were associated with higher subsequent performance for holding 100 to 250 trading days (roughly one year) than other months. These findings highlight the importance of the trading time and the superiority of the RSI over SOIs in generating profits. This study sheds light on the significance of oversold trading signals and suggests that the “monthly effect” is crucial for achieving higher returns. |
| first_indexed | 2024-03-08T10:41:40Z |
| format | Article |
| id | doaj.art-cc61d8b34cf543dabd9c559889279d44 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-08T10:41:40Z |
| publishDate | 2024-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-cc61d8b34cf543dabd9c559889279d442024-01-26T17:34:32ZengMDPI AGMathematics2227-73902024-01-0112235610.3390/math12020356Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade PeriodChien-Liang Chiu0Paoyu Huang1Min-Yuh Day2Yensen Ni3Yuhsin Chen4Department of Banking and Finance, Tamkang University, New Taipei City 251301, TaiwanDepartment of International Business, Soochow University, Taipei 100006, TaiwanGraduate Institute of Information Management, National Taipei University, New Taipei City 237303, TaiwanDepartment of Management Sciences, Tamkang University, New Taipei City 251301, TaiwanDepartment of Accounting, Chung Yuan Christian University, Taoyuan City 320314, TaiwanIn contrast to finding better monthly performance shown in a specific month, such as the January effect (i.e., better stock price performance in January as opposed to other months), which has been extensively studied, the goal of this study is to determine whether investors would obtain better subsequent performance as technical trading signals emitted in a specific month because, from the investment perspective, investors purchasing stocks now would not know their performance until later. We contend that our analysis emphasizes its critical role in steering investment decisions and enhancing profitability; nonetheless, this issue appears to be overlooked in the relevant literature. As such, utilizing big data to analyze the constituent stocks of the DJI 30 and NDX 100 indices from 2003 to 2022 (i.e., two-decade data), this study investigates whether trading these stocks as trading signals emitted via contrarian regulation of stochastic oscillator indicators (SOIs) and the relative strength index (RSI) in specific months would result in superior subsequent performance (hereafter referred to as “monthly effects”). This study discovers that the oversold signals generated by these two contrarian regulations in March were associated with higher subsequent performance for holding 100 to 250 trading days (roughly one year) than other months. These findings highlight the importance of the trading time and the superiority of the RSI over SOIs in generating profits. This study sheds light on the significance of oversold trading signals and suggests that the “monthly effect” is crucial for achieving higher returns.https://www.mdpi.com/2227-7390/12/2/356monthly effectscontrarian strategiesoversold signalssubsequent performancestochastic oscillator indicatorsrelative strength index |
| spellingShingle | Chien-Liang Chiu Paoyu Huang Min-Yuh Day Yensen Ni Yuhsin Chen Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period Mathematics monthly effects contrarian strategies oversold signals subsequent performance stochastic oscillator indicators relative strength index |
| title | Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period |
| title_full | Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period |
| title_fullStr | Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period |
| title_full_unstemmed | Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period |
| title_short | Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period |
| title_sort | mastery of monthly effects big data insights into contrarian strategies for dji 30 and ndx 100 stocks over a two decade period |
| topic | monthly effects contrarian strategies oversold signals subsequent performance stochastic oscillator indicators relative strength index |
| url | https://www.mdpi.com/2227-7390/12/2/356 |
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