Technical Trading Revisited: Evidence from the Asian Stock Markets

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