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Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises

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  • Michael D. McKenzie

Abstract

The ability of simple technical trading rules to forecast future stock market movements is considered for seventeen emerging markets, sampled from January 1986 to September 2003. Some of the trading rules considered generated significant returns; this information could be exploited profitably on occasion. Market conditions and trading volume are found to be important to determining the usefulness of technical trading rules.

Suggested Citation

  • Michael D. McKenzie, 2007. "Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(4), pages 46-73, August.
  • Handle: RePEc:mes:emfitr:v:43:y:2007:i:4:p:46-73
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Imad Moosa & Larry Li, 2011. "Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 23-31, January.
    2. Chong, Terence Tai-Leung & Ip, Hugo Tak-Sang, 2009. "Do momentum-based strategies work in emerging currency markets?," Pacific-Basin Finance Journal, Elsevier, pages 479-493.
    3. William T. Lin & David S. Sun & Shih-Chuan Tsai, 2012. "Does Trading Remove or Cause Friction?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S4), pages 33-53, November.
    4. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
    5. William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 4-30, May.
    6. Metghalchi Massoud & Garza-Gomez Xavier, 2011. "Trading Rules for the Abu Dhabi Stock Index," Review of Middle East Economics and Finance, De Gruyter, vol. 7(1), pages 52-66, May.
    7. Imad Moosa & Larry Li, 2011. "Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 23-31, January.
    8. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 41-57, January.
    9. Lin, William & Sun, David & Tsai, Shih-Chuan, 2010. "Does trading remove or bring frictions?," MPRA Paper 37285, University Library of Munich, Germany, revised Jan 2011.
    10. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 41-57, January.
    11. William T. Lin & Shih-Chuan Tsai & David S. Sun, 2012. "Search Costs and Investor Trading Activity: Evidence from Limit Order Books," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(3), pages 4-30, May.
    12. Chong, Terence Tai-Leung & Ip, Hugo Tak-Sang, 2009. "Do momentum-based strategies work in emerging currency markets?," Pacific-Basin Finance Journal, Elsevier, pages 479-493.
    13. William T. Lin & David S. Sun & Shih-Chuan Tsai, 2012. "Does Trading Remove or Cause Friction?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S4), pages 33-53, November.
    14. Yan-Ting Lin & Shang-Chi Gong & Sou-Shan Wu & Tsung-Pei Lee, 2012. "E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 117-131, January.
    15. repec:eco:journ1:2017-02-30 is not listed on IDEAS
    16. Yan-Ting Lin & Shang-Chi Gong & Sou-Shan Wu & Tsung-Pei Lee, 2012. "E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 117-131, January.

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