TITLE

Validation of Moving Average Trading Rules: Evidence From Hong Kong, Singapore, South Korea, Taiwan

AUTHOR(S)
Metghalchi, Massoud; Jianjun Du; Yixi Ning
PUB. DATE
September 2009
SOURCE
Multinational Business Review (St. Louis University);Fall2009, Vol. 17 Issue 3, p101
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This paper tests two moving average technical trading rules for four Asian markets. Our results indicate that moving average rules do indeed have predictive power and can discern recurring price patterns for profitable trading. Moreover, our results support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be high for all four markets. To confirm the test outcome, robust tests based on bootstrap and the related i-tests among the markets are also carried out. We conclude from the statistical results that moving average rules are valid and indeed have predictive power. It is implied that the trading rules maybe used to design a trading strategy that will beat the buy-and-hold strategy in the Hong Kong, Singapore, South Korea, and Taiwan markets. The contribution of the current study is that this is the first validation test of trading rules using four markets at a similar development stage and culture tradition; and in the tests, we use most current and longer periods than the periods used in previous literature. Our robust tests are unique and considered distribution-free.
ACCESSION #
47879740

 

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