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On the returns generating process and the profitability of trading rules in emerging capital markets

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  • Hatgioannides, John
  • Mesomeris, Spyros
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    File URL: http://www.sciencedirect.com/science/article/B6V9S-4NS0KH3-1/2/ef076af3f4a85fc3d24d5e1a7d38b114
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 26 (2007)
    Issue (Month): 6 (October)
    Pages: 948-973

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    Handle: RePEc:eee:jimfin:v:26:y:2007:i:6:p:948-973

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    Web page: http://www.elsevier.com/locate/inca/30443

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    1. 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.
    2. Andersson, Michael K. & Gredenhoff, Mikael P., 1998. "Robust Testing for Fractional Integration Using the Bootstrap," Working Paper Series in Economics and Finance 218, Stockholm School of Economics.
    3. Hali J. Edison & Francis E. Warnock, 2001. "A simple measure of the intensity of capital controls," International Finance Discussion Papers 708, Board of Governors of the Federal Reserve System (U.S.).
    4. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04.
    5. Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
    6. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    7. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
    8. John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000. "Long memory in the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 177-184.
    9. Geert Bekaert & Campbell R. Harvey & Robin L. Lumsdaine, 1998. "Dating the Integration of World Equity Markets," NBER Working Papers 6724, National Bureau of Economic Research, Inc.
    10. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis.
    11. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    12. Freedman, David, 1981. "Some Pitfalls in Large Econometric Models: A Case Study," The Journal of Business, University of Chicago Press, vol. 54(3), pages 479-500, July.
    13. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    14. Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers 08/03, School of Economics and Business Administration, University of Navarra.
    15. Jonathan H. Wright, 1999. "Long memory in emerging market stock returns," International Finance Discussion Papers 650, Board of Governors of the Federal Reserve System (U.S.).
    16. Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
    17. 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.
    18. Ratner, Mitchell & Leal, Ricardo P. C., 1999. "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1887-1905, December.
    19. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    20. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
    21. 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.
    22. Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
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    Cited by:
    1. Kung, James J., 2009. "Predictability of Technical Trading Rules: Evidence from the Taiwan Stock Market," Review of Applied Economics, Review of Applied Economics, vol. 5(1-2).

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