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Market Efficiency And Profitability Of Technical Trading Rules: Evidence From Vietnam

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  • Massoud Metghalchi

Abstract

We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012. The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each sub-period analyzed. Further, we ask whether a trader can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

Suggested Citation

  • Massoud Metghalchi, 2013. "Market Efficiency And Profitability Of Technical Trading Rules: Evidence From Vietnam," Journal of Prediction Markets, University of Buckingham Press, vol. 7(2), pages 11-27.
    • Handle: RePEc:buc:jpredm:v:7:y:2013:i:2:p:11-27
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    Cited by:

    1. Ming, Kelvin Lee Yong & Jais, Mohamad, 2021. "Effectiveness of Moving Average Rules During COVID-19 Pandemic: Evidence from Malaysian Stock Market," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(1), pages 87-98.
    2. Dang, Ha V. & Lin, Mi, 2016. "Herd mentality in the stock market: On the role of idiosyncratic participants with heterogeneous information," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 247-260.

    More about this item

    Keywords

    Technical Analysis; Trading Indicators; Market Efficiency; Technical Trading Rules; Stock Market Trading Strategies;
    All these keywords.

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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