Technical trading strategies and cross-national information linkage: the case of Taiwan stock market

Chang, Yung‐Ho; Metghalchi, Massoud; Chan, Chia-Chung

doi:10.1080/09603100500426374

Cited by 24 publications

(18 citation statements)

References 26 publications

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“…Chang et al (2004) find profitable trading opportunities in a number of Asian emerging markets. Chang et al (2006) find that technical trading rules have predictive power for the Taiwan equity market.…”

Section: Introductionmentioning

confidence: 87%

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Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets

Shynkevich

2016

Journal of Forecasting

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If past prices can successfully predict future price movements, it would contradict the notion of weak‐form market efficiency. Return predictability can be assessed via a variety of random walk statistical tests or via the application of mechanical trading rules. Findings of return predictability and state of market efficiency are compared by applying a battery of popular random walk statistical tests and a large set of mechanical trading rules to a family of equity indexes in Asia–Pacific equity markets over a 20‐year period of time. Inferences drawn from different random walk based econometric tests of market efficiency often disagree among themselves and tend to exaggerate the extent of predictability in returns. Testing of return predictability via a set of mechanical trading rules allows one to account for a possible data snooping bias, error measurements due to nonsynchronous trading and market frictions such as trading costs. Persistent predictability of returns that cannot be explained by the combination of data snooping bias, nonsynchronicity bias and moderate level of transaction costs is found in just two emerging equity markets in the region. Copyright © 2016 John Wiley & Sons, Ltd.

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Section: Introductionmentioning

confidence: 87%

“…Chang et al . () find that technical trading rules have predictive power for the Taiwan equity market.…”

Section: Introductionmentioning

confidence: 93%

Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets

Shynkevich

2016

Journal of Forecasting

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“…11For stock market studies see Goldberg and Schulmeister (1988), Brock, Lakonishok, and LeBaron (1992), Hudson, Dempsey, and Keasey (1996), Gunasekarage and Power (2001), Fernandez‐Rodriguez, Gonzalez‐Martel, Sosvilla‐Rivero (2000, 2005), Kwon and Kish (2002), Wong, Manzur, and Chew (2003), Jasic and Wood (2004), Chang, Metghalchi, and Chan (2006). “Abnormal” returns of technical analysis in foreign exchange markets are reported by Schulmeister (1988), Levich and Thomas (1993), Menkhoff and Schlumberger (1995), Gencay and Stengos (1998), Chang and Osler (1999), Neely and Weller (1999), Gencay (1999), LeBaron (1999), Osler (2000), Maillet and Michel (2000), Neely and Weller (2003), Okunev and White (2003), Schulmeister (2008a,b).…”

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confidence: 99%

Profitability of technical stock trading: Has it moved from daily to intraday data?

Schulmeister

2008

Rev Financ Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s. However, when based on 30-minutes-data the same models produce an average gross return of 7.2% per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes-data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming recently more efficient or to stock price trends shifting from 30-minutesprices to prices of higher frequencies.

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“…For example, Kwon and Kish (2002) confirmed that technical trading rules can add a value to capture profit opportunities over a buy and hold strategy for the NYSE value-weighted index. Metaghachi and Chang (2003) and Chang, Metghalchi & Chan (2006) applied various moving average rules to conclude the profitability of technical trading in the Italian and the Taiwanese stock markets. Wong, Manzur & Chew (2003) investigated the Singapore data to indicate that the moving average and the relative strength index (RSI) can be used to generate significantly positive return.…”

Section: Literature Reviewmentioning

confidence: 99%

Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

Chen¹,

Metghalchi²

2012

IJEF

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We investigate the predictive power of various trading rules with different combinations of the most popular indicators in technical analysis for the Brazilian stock index (BOVESPA) over the period of 5/1/1996 to 3/1/2011, or 14.83 years. The empirical results show that all the buy-sell differences under single, double and triple-indicator combinations are insignificant in t-test; that is, technical trading models cannot beat the buy and hold strategy. Although few multiple-indicator trading models show profitability, their predictive power is eliminated after considering the possible interest earning from money market in the days out of stock market. The results support strongly the weak form of market efficiency for the Brazilian stock market.

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Technical trading strategies and cross-national information linkage: the case of Taiwan stock market

Cited by 24 publications

References 26 publications

Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets

Two Tales of Return Predictability: The Case of Asia–Pacific Equity Markets

Profitability of technical stock trading: Has it moved from daily to intraday data?

Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

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