Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87358
Authors: 
McAleer, Michael
Suen, John
Wong, Wing Keung
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-077/III
Abstract: 
This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies after the bubble burst, it not only produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.
Subjects: 
Technical analysis
moving average
buy-and-hold strategy
dot-com bubble
Asian financial crisis
sub-prime crisis
moving linear regression
volatility
JEL: 
G1
C0
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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