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Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

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  • Michael McAleer

    ()
    (University of Canterbury)

  • John Suen
  • Wing Keung Wong

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 in 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.

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File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1320.pdf
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Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 13/20.

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Length: 35 pages
Date of creation: 03 Jun 2013
Date of revision:
Handle: RePEc:cbt:econwp:13/20

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Related research

Keywords: Technical analysis; moving average; buy-and-hold strategy; dot-com bubble; Asian financial crisis; sub-prime crisis; moving linear regression; volatility;

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