HOW TO MAKE A PROFITABLE TRADING STRATEGY MORE PROFITABLE?
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1142/S0217590813500197

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要Chong and Lam and Chong et al. show that SETAR(2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0) and MA(5http://aims.cuhk.edu.hk/converis/portal/Publication/0) outperform other rules in both the U.S. and the Chinese stock market. This paper investigates the synergy of combining SETAR (2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/0) and MA(5http://aims.cuhk.edu.hk/converis/portal/Publication/0) rules in ten U.S. and Chinese stock market indexes. It is found that the SETAR rule performs better in the U.S. market, while the MA rule performs better in the Chinese market. In addition, we find evidence that a new strategy combining the two rules together is able to create synergy. An immediate implication of our result is that investors are able to improve the performance of their portfolios by combining existing profitable trading rules.

着者Chong TTL, Lam TH
期刊名称SINGAPORE ECONOMIC REVIEW
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/013
月份9
日期1
卷号58
期次3
出版社WORLD SCIENTIFIC PUBL CO PTE LTD
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0217-59http://aims.cuhk.edu.hk/converis/portal/Publication/08
语言英式英语

关键词bootstrap; combined strategy; GARCH-M model; market efficiency; SETAR model
Web of Science 学科类别Business & Economics; Economics; ECONOMICS