Profitability of Nonlinear Dynamics Under Technical Trading Rules: Evidence from Pacific Basin Stock Markets

Autor:	Kiseok Nam, Joshua Krausz, Sa-Young Lee
Rok vydání:	2009
Předmět:	Nonlinear system Exploit Financial economics Stock exchange Technical analysis Economics Profitability index General Economics Econometrics and Finance Stock market index Finance Pacific basin Stock (geology)
Zdroj:	Emerging Markets Finance and Trade. 45:13-35
ISSN:	1558-0938 1540-496X
DOI:	10.2753/ree1540-496x450402
Popis:	This paper explores a possible link between an asymmetric dynamic process of stock returns and profitable technical trading rules. Using Pacific Basin stock market indexes, we show that the dynamic process of daily index returns is better characterized by nonlinearity arising from an asymmetric reverting property, and that the asymmetric reverting property of stock returns is exploitable in generating profitable buy and sell signals for technical trading rules. We show that the positive (negative) returns from buy (sell) signals are a consequence of trading rules that exploit the asymmetric dynamics of stock returns that revolve around positive (negative) unconditional mean returns under prior positive (negative) return patterns. Our results corroborate the arguments for the usefulness of technical analysis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::33c62c25953a06187f9d908da6c555c2 https://doi.org/10.2753/ree1540-496x450402 Zobrazit plný text záznamu Plný text ve formátu PDF