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TECHNICAL TRADING REVISITED: EVIDENCE FROM THE ASIAN STOCK MARKETS

Thorben Lubnau, Neda Todorova

DOI: 10.22495/cocv11i2c5p6

Abstract

We examine the forecasting power and profitability of moving average (MA) and trading range break (TRB) rules for the daily prices of ten Asian stock indices from January 1990 to September 2012 using bootstrap tests. The results confirm the predictive ability of MA rules whereas the picture uncovered by the TRB rules is more mixed. The MA rules consistently generate positive excess returns after transaction costs, with highest magnitudes often achieved for less developed markets. However, more developed markets surprisingly seem to be far from informationally efficient as well. Furthermore, short-term variants of the trading rules outperform systematically long-term variants.

Keywords: Technical Trading Rules, Moving Averages, Trading Range Break, Bootstrap Tests, Asian Stock Markets

How to cite this paper: Lubnau, T., & Todorova, N. (2014). Technical trading revisited: evidence from the Asian stock markets. Corporate Ownership & Control, 11(2-5), 511-532. http://doi.org/10.22495/cocv11i2c5p6

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