The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets
This paper examines the profitability and predictability of index returns of Shanghai Composite Index, Hang Seng Index, Straits Times Index, and Kuala Lumpur Stock Exchange Composite Index over three sub-sample periods from 1(st) January 1996 to 30(th) September 2007. We used twelve variations of th...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://shdl.mmu.edu.my/2948/ |
| _version_ | 1848790192607985664 |
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| author | Ming-Ming, Lai Siok-Hwa, Lau |
| author_facet | Ming-Ming, Lai Siok-Hwa, Lau |
| author_sort | Ming-Ming, Lai |
| building | MMU Institutional Repository |
| collection | Online Access |
| description | This paper examines the profitability and predictability of index returns of Shanghai Composite Index, Hang Seng Index, Straits Times Index, and Kuala Lumpur Stock Exchange Composite Index over three sub-sample periods from 1(st) January 1996 to 30(th) September 2007. We used twelve variations of the variable moving average rules (VMA) that were adapted from Brock, Lakonishok, and LeBaron [5]. The results showed technical attractiveness and economic value significantly of VMA rules especially for the sub-period 2004 to 2007. Nonetheless, the profitability generated appears less consistent over time and the performance of VMA rules were more dominated by market trends movement. VMA rules generate more significant predictability for buy signals than sell signals. The interesting findings wan-ant future investigations. |
| first_indexed | 2025-11-14T18:08:43Z |
| format | Conference or Workshop Item |
| id | mmu-2948 |
| institution | Multimedia University |
| institution_category | Local University |
| last_indexed | 2025-11-14T18:08:43Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | mmu-29482011-09-29T07:07:58Z http://shdl.mmu.edu.my/2948/ The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets Ming-Ming, Lai Siok-Hwa, Lau T Technology (General) QA75.5-76.95 Electronic computers. Computer science This paper examines the profitability and predictability of index returns of Shanghai Composite Index, Hang Seng Index, Straits Times Index, and Kuala Lumpur Stock Exchange Composite Index over three sub-sample periods from 1(st) January 1996 to 30(th) September 2007. We used twelve variations of the variable moving average rules (VMA) that were adapted from Brock, Lakonishok, and LeBaron [5]. The results showed technical attractiveness and economic value significantly of VMA rules especially for the sub-period 2004 to 2007. Nonetheless, the profitability generated appears less consistent over time and the performance of VMA rules were more dominated by market trends movement. VMA rules generate more significant predictability for buy signals than sell signals. The interesting findings wan-ant future investigations. 2008-05 Conference or Workshop Item NonPeerReviewed Ming-Ming, Lai and Siok-Hwa, Lau (2008) The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets. In: 7th Wuhan International Conference on E-Business, 31 MAY-01 JUN 2008, Wuhan, PEOPLES R CHINA. http://apps.webofknowledge.com/full_record.do?product=WOS&search_mode=GeneralSearch&qid=1&SID=W1gbFB46DdE8F6aaJIP&page=98&doc=980 |
| spellingShingle | T Technology (General) QA75.5-76.95 Electronic computers. Computer science Ming-Ming, Lai Siok-Hwa, Lau The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title | The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title_full | The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title_fullStr | The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title_full_unstemmed | The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title_short | The Returns of Variable Moving Average Rules in China, Hong Kong, Singaporean and Malaysian Stock Markets |
| title_sort | returns of variable moving average rules in china, hong kong, singaporean and malaysian stock markets |
| topic | T Technology (General) QA75.5-76.95 Electronic computers. Computer science |
| url | http://shdl.mmu.edu.my/2948/ http://shdl.mmu.edu.my/2948/ |