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Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market

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  • Yu-Lieh Huang

Abstract

In this article, we apply the innovation regime-switching model, recently proposed by Kuan et al. (2005, JBES), to identify turbulent and calm regimes in stock prices. Based on the predictions of both regimes, we construct simple trading rules and investigate their profitability. Our results suggest that the proposed trading rules outperform the buy-and-hold strategy.

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  • Yu-Lieh Huang, 2009. "Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1477-1481.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:14:p:1477-1481
    DOI: 10.1080/13504850701578793
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    2. Mariano Matilla-Garcia, 2006. "Are trading rules based on genetic algorithms profitable?," Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 123-126.
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