Research@Lincoln
    • Login
     
    View Item 
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Masters Theses
    • View Item
    •   Research@Lincoln Home
    • Theses and Dissertations
    • Masters Theses
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    The predictive ability and profitability of technical trading rules: evidence from the Asia-Pacific stock markets

    Yu, Hao
    Abstract
    This study investigates whether the moving average and trading range breakout rules can outperform a simple buy-and-hold strategy to forecast stock price movements and earn excess returns after adjusting for transaction costs in twelve Asia-Pacific stock markets from January 1991 to December 2008. The empirical results show that the trading rules have stronger predictive power in the emerging stock markets than in the developed stock markets. In addition, the short-term variants of the technical trading rules may be more useful in detecting the predictive ability of the technical trading rules. In examining the profitability of the technical trading rules, the study shows that transaction costs can eliminate the trading profits for most stock markets. The empirical results show that the technical trading rules are profitable in Thailand, Shenzhen, and Korea stock markets after adjusting for transaction costs. There is no evidence of the profitability of the technical trading rules in other stock markets after transaction costs. In order to investigate the relationship between market efficiency and the profitability of the technical trading rules, the study compares the excess returns between six developed stock markets and six emerging stock markets during the test period. The empirical results show that the technical trading rules performed better in the emerging stock markets than in the developed stock markets. This implies that the developed stock markets are efficient and using the technical trading rules may not be profitable.... [Show full abstract]
    Keywords
    efficient market hypothesis; Asia-Pacific stock markets; technical trading rules; transaction costs
    Date
    2010
    Type
    Thesis
    Collections
    • Department of Financial and Business Systems [526]
    • Masters Theses [847]
    Thumbnail
    View/Open
    Yu_mcm.pdf
    Share this

    on Twitter on Facebook on LinkedIn on Reddit on Tumblr by Email

    Metadata
     Expand record
    This service is maintained by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us
     

     

    Browse

    All of Research@LincolnCommunities & CollectionsTitlesAuthorsKeywordsBy Issue DateThis CollectionTitlesAuthorsKeywordsBy Issue Date

    My Account

    LoginRegister

    Statistics

    View Usage Statistics
    This service is maintained by Learning, Teaching and Library
    • Archive Policy
    • Copyright and Reuse
    • Deposit Guidelines and FAQ
    • Contact Us