How Rewarding Is Technical Analysis? Evidence From Singapore Stock Market

This file is part of IDEAS, which uses RePEc data

How Rewarding Is Technical Analysis? Evidence From Singapore Stock Market

Author Info

Wing-Keung Wong () (National University of Singapore)
Meher Manzur (Curtin University of Technology)
Boon-Kiat Chew (EFG Private Bank SA Switzerland)

Additional information is available for the following registered author(s):

Wing-Keung Wong

Abstract

This paper focuses on the role of technical analysis in signalling the timing of stock market entry and exit. Test statistics are introduced to test the performance of the most established of the trend followers, the Moving Average, and the most frequently used counter-trend indicator, the Relative Strength Index. Using Singapore data, the results indicate that the indicators can be used to generate significantly positive return. It is found that member firms of Singapore Stock Exchange (SES) tend to enjoy substantial profits by applying technical indicators. This could be the reason why most member firms do have their own trading teams that rely heavily on technical analysis.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by National University of Singapore, Department of Economics in its series Departmental Working Papers with number wp0216.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 21 pages
Date of creation: 2002
Date of revision:
Handle: RePEc:nus:nusewp:wp0216

Contact details of provider:
Web page: http://www.fas.nus.edu.sg/ecs/index.html
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

Other versions of this item:

Article
- Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2003. "How rewarding is technical analysis? Evidence from Singapore stock market," Applied Financial Economics, Taylor and Francis Journals, vol. 13(7), pages 543-551, January. [Downloadable!] (restricted)

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-11-10 (All new papers)
NEP-FIN-2002-11-10 (Finance)
NEP-FMK-2002-11-10 (Financial Markets)
NEP-SEA-2002-11-04 (South East Asia)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Jeffrey A. Frankel & Kenneth A. Froot, 1991. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," NBER Reprints 1512, National Bureau of Economic Research, Inc.
Other versions:
- Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-85, May. [Downloadable!] (restricted)
Jeffrey A. Frankel & Kenneth A. Froot, 1991. "Chartists, Fundamentalists and the Demand for Dollars," NBER Reprints 1655, National Bureau of Economic Research, Inc.
Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June. [Downloadable!] (restricted)
Other versions:
- John Y. Campbell, 1988. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
John Y. Campbell & Robert J. Shiller, 1989. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation, Yale University. [Downloadable!]
- John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(3), pages 195-228. [Downloadable!] (restricted)
Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-76, July. [Downloadable!] (restricted)
Other versions:
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation, Yale University. [Downloadable!]
- John Y. Campbell & Robert J. Shiller, 1989. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April. [Downloadable!] (restricted)
Wong, Wing-Keung & Li, Chi-Kwong, 1999. "A note on convex stochastic dominance," Economics Letters, Elsevier, vol. 62(3), pages 293-300, March. [Downloadable!] (restricted)
Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September. [Downloadable!] (restricted)
Conrad, Jennifer & Kaul, Gautam, 1988. "Time-Variation in Expected Returns," Journal of Business, University of Chicago Press, vol. 61(4), pages 409-25, October. [Downloadable!] (restricted)
Wing-Keung Wong & Boon-Kiat Chew & Douglas Sikorski, 2002. "Can the Forecasts Generated from E/P Ratio and Bond Yield be Used to Beat Stock Markets?," Departmental Working Papers wp0201, National University of Singapore, Department of Economics. [Downloadable!]
De Bondt, Werner F M & Thaler, Richard H, 1987. " Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-81, July. [Downloadable!] (restricted)
Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation, Yale University. [Downloadable!]
Robert J. Shiller, 1987. "Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence," NBER Working Papers 2446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO. [Downloadable!]
Wing-Keung Wong & Raymond H. Chan, 2004. "On the Estimation of Cost of Capital and its Reliability," Departmental Working Papers wp0401, National University of Singapore, Department of Economics. [Downloadable!]
Wong Keung-Wing & Habibullah Khan & Jun Du, 2006. "Money, Interest Rate and Stock Prices: New Evidence from Singapore and The United States," Departmental Working Papers wp0601, National University of Singapore, Department of Economics. [Downloadable!]
Wing-Keung Wong & Jun Du & Terence Tai-Leung Chong, 2005. "Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan," SCAPE Policy Research Working Paper Series 0512, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers wp0501, National University of Singapore, Department of Economics. [Downloadable!]

Statistics

Access and download statistics

Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.

This page was last updated on 2008-11-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.