In the last few years, it has been proved that the movements of financial asset have the property of non-linearity and show some tendency within a given period. Increasing evidence that technical trading rules can detect non-linearity in financial time series has renewed interest in technical analysis.
This study evaluates the market timing ability of the moving average trading rules in twelve equity markets in the developed markets and the emerging markets from January 1990 through Match 2002. We use traditional test, bootstrap p-value test, Cumby-Modest¡¦s market timing ability test and simulation stock trade to evaluate market timing ability. The overall results indicate that the moving average trading rules have predictive ability with respect to market indices in the Asia emerging stock markets. These findings may provide investors with important asset allocation information.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0710102-145012 |
| Date | 10 July 2002 |
| Creators | Chao, Yung-Yu |
| Contributors | Chang-Chiang Chin, Jen-Jsung Huang, Chau-Jung Kuo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0710102-145012 |
| Rights | unrestricted, Copyright information available at source archive |
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