Tests of Technical Trading Rules in the Asian-Pacific Equity Markets: A Bootstrap Approach

Academy of Financial and Accounting Studies Journal, Vol. 11, No. 2, 2007

19 Pages Posted: 26 Mar 2008 Last revised: 9 Nov 2009

Abstract

This study examines the effectiveness of nine technical trading rules in eight Asian-Pacific equity markets for periods ranging from January 1987 to November 2005. The annualized returns from each trading rule are compared to a naive buy-and-hold strategy to determine profitability. The TSEC, Straits Times, Hang Seng, Jakarta, KOSPI and the BSE emerge as equity markets where technical trading rules may be profitable. There is no evidence of profitability for the other two markets, the Nikkei and the All Ordinaries. The results reveal that 56 out of the 72 (77.8 per cent) trading rule variants tested on all data sets, disregarding statistical significance, were profitable after accounting for transaction costs. The results are important as they provide investors with information about the Asian-Pacific equity markets that can be used to determine optimal asset allocations and to further diversify portfolios.

Keywords: Technical Analysis, Market Efficiency, Asian Capital Markets, Stock Returns

JEL Classification: C15, G11, G14

Suggested Citation

Lento, Camillo, Tests of Technical Trading Rules in the Asian-Pacific Equity Markets: A Bootstrap Approach. Academy of Financial and Accounting Studies Journal, Vol. 11, No. 2, 2007. Available at SSRN: https://ssrn.com/abstract=1111879

Camillo Lento (Contact Author)

Lakehead University ( email )

955 Oliver Road
Thunder Bay, Ontario P7B 5E1
Canada

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