IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v10y2003i1p45-57.html
   My bibliography  Save this article

Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market

Author

Listed:
  • Wai-Yan Cheng
  • Yan Leung Cheung
  • Haynes H. M. Yung

Abstract

Many studies show that the use of technical analysis can generate excess returns. We test the "CRISMA" technical trading rule introduced by [Pruitt and White J. Portfolio Managt. Spring, 1988, 55--58] on global equity indices and common stocks in Hong Kong. Out study shows that no excess returns could be found in indices except those in Asia. This validates the claims that the Asian stock markets are not as efficient as other stock markets and hence can be exploited by technical analysis. How does CRISMA perform on common stocks in Hong Kong? Generally speaking, CRISMA does not fair better than the buy and hold strategy. Further analysis reveals excess returns for stocks with very large turnover. This is consistent with other recent research on CRISMA conducted on US and UK stock markets. We also amend part of the original CRISMA rules to yield better performance: shrinking the moving average window sizes can increase both the number of trade signals and the excess returns. Therefore CRISMA can be made to work with some judicious choice of parameters, depending on the turnover.

Suggested Citation

  • Wai-Yan Cheng & Yan Leung Cheung & Haynes H. M. Yung, 2003. "Profitability of the CRISMA System: From World Indices to the Hong Kong Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(1), pages 45-57.
    • Handle: RePEc:kap:apfinm:v:10:y:2003:i:1:p:45-57
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/1387-2834/contents
    Download Restriction: Access to the full text of the articles in this series is restricted.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:10:y:2003:i:1:p:45-57. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.