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

Author

Listed:
  • Michael McAleer

    (Econometric Institute Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute The Netherlands and Department of Quantitative Economics Complutense University of Madrid Spain and Institute of Economic Research Kyoto University Japan)

  • John Suen

    (Department of Statistics Chinese University of Hong Kong)

  • Wing Keung Wong

    (Department of Economics Hong Kong Baptist University)

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 of 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.

Suggested Citation

  • Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," KIER Working Papers 869, Kyoto University, Institute of Economic Research.
  • Handle: RePEc:kyo:wpaper:869
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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP869.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(1), pages 1-29, March.
    2. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2015. "Behavioural, Financial, and Health & Medical Economics: A Connection," Documentos de Trabajo del ICAE 2015-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Tinbergen Institute Discussion Papers 18-024/III, Tinbergen Institute.

    More about this item

    Keywords

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

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C0 - Mathematical and Quantitative Methods - - General

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