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Tests of technical trading strategies in the emerging equity markets of Latin America and Asia

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  • Ratner, Mitchell
  • Leal, Ricardo P. C.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3XYG5GG-8/2/bf1b7939ef3899ab1b09b4b55b0a7780
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 23 (1999)
    Issue (Month): 12 (December)
    Pages: 1887-1905

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    Handle: RePEc:eee:jbfina:v:23:y:1999:i:12:p:1887-1905

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    References

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    1. Dušan ISAKOV & Marc HOLLISTEIN, 1999. "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?," FAME Research Paper Series rp2, International Center for Financial Asset Management and Engineering.
    2. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    3. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-82, May.
    4. Urrutia, Jorge L, 1995. "Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(3), pages 299-309, Fall.
    5. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
    6. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July.
    7. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
    8. Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
    9. Harry V. Roberts, 1959. "Stock‐Market “Patterns” And Financial Analysis: Methodological Suggestions," Journal of Finance, American Finance Association, vol. 14(1), pages 1-10, 03.
    10. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
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    Cited by:
    1. Hatgioannides, John & Mesomeris, Spyros, 2007. "On the returns generating process and the profitability of trading rules in emerging capital markets," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 948-973, October.
    2. Ming-Ming, Lai & Siok-Hwa, Lau, 2006. "The profitability of the simple moving averages and trading range breakout in the Asian stock markets," Journal of Asian Economics, Elsevier, vol. 17(1), pages 144-170, February.
    3. Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
    4. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, vol. 23(1), pages 122-137.
    5. Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Working Papers in Economics 13/20, University of Canterbury, Department of Economics and Finance.
    6. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
    7. Chong, Terence Tai-Leung & Ip, Hugo Tak-Sang, 2009. "Do momentum-based strategies work in emerging currency markets?," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 479-493, September.
    8. Groenewold, Nicolaas & Kan Tang, Sam Hak & Wu, Yanrui, 2008. "The profitability of regression-based trading rules for the Shanghai stock market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 411-430.
    9. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
    10. Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
    11. Michael D. McKenzie, 2007. "Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 43(4), pages 46-73, August.
    12. Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, 09.
    13. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.

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