The Effectiveness of Technical Trading Models in Asian Equity Markets around the Financial Crisis
Camillo Lento, Lakehead University, Faculty of Business Administration, 955 Oliver Road, RB 1013, Thunder Bay, Ontario, Canada P7B 5E1, CLento@lakeheadu.ca
Abstract
This chapter tests the profitability of four technical trading rule strategies in the Asian-Pacific equity markets over the period of January 2001 to July 2013. This time period allows for the assessment of the effectiveness of the trading rules before, during, and after the financial crises. Filter rules, Bollinger Bands, trading breakouts, and moving average crossover rules are tested on the TSEC, Straits Times, Hang Seng, Jakarta, and the KLCI. Profitability is defined ...
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