Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market

Cheng, W. Allen; Cheung, Yan‐Leung; Yung, Haynes H. M.

doi:10.1023/b:fejm.0000039874.83918.ad

Cited by 1 publication

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“…Although, the trades that the system produces are profitable, after any adjustment for market movements and risk they fail to be even with an assumption of no transaction costs. Cheng et al (2003) also apply the CRISMA trading system to 37 world indices (from 1990 to 2001) and to all stocks of the Hong Kong exchange (from 1988 to 2000). Cheng et al (2003) find that the CRISMA is not able to produce significant excess returns with only exception the large turnover stocks from Hong Kong.…”

Section: More Complex Systemsmentioning

confidence: 99%

“…Cheng et al (2003) also apply the CRISMA trading system to 37 world indices (from 1990 to 2001) and to all stocks of the Hong Kong exchange (from 1988 to 2000). Cheng et al (2003) find that the CRISMA is not able to produce significant excess returns with only exception the large turnover stocks from Hong Kong. However, they comment that profits obtained by the CRISMA are larger for the Asian, as well as, for the emerging markets comparatively to the large developed markets.…”

Section: More Complex Systemsmentioning

confidence: 99%

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A study of efficiency in capital markets

Παπαναγιώτου¹

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First and foremost I would like to thank my supervisor Dr. Alexandros Milionis. Working with him has been a great opportunity for expanding my knowledge and learning new things.His eagerness and enthusiasm for research was a great example for me. All of these years his door was always open, guiding me every time I was lost. In every stage of this thesis his patience and support have been invaluable. I would like also to thank the other two members of my advisory committee Dr. Georgios Vamvoukas and Dr. Athanasios Yannacopoulos for their time and help. I want to thank Eleni Klaoudatou for our long conversations as she always was there to hear my concerns. I owe special thanks to Dimitris Geneiatakis for supporting me in every aspect and encouraging me through the way. No matter how far, he always offered his help generously.Finally, I am deeply grateful to my family George Soldatos, Grigorios Papanagiotou and my father Thomas Papanagiotou. Although my choices affected their lives they unconditionally supported me.

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Section: More Complex Systemsmentioning

confidence: 99%

Section: More Complex Systemsmentioning

confidence: 99%

A study of efficiency in capital markets

Παπαναγιώτου¹

View full text Add to dashboard Cite

show abstract

Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market

Cited by 1 publication

References 21 publications

A study of efficiency in capital markets

A study of efficiency in capital markets

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