Profitability of the directional indicators
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/10.1080/17446540600647045

引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/1Scopus source URL

其它资讯

摘要This paper studies the profitability of the Directional Movement Index (DMI) trading rule. It is found that the http://aims.cuhk.edu.hk/converis/portal/Publication/10-, http://aims.cuhk.edu.hk/converis/portal/Publication/14- and 20-day DI generate considerable return and beat the buy-and-hold strategy for the Hang Seng, KOSPI, Nikkei 225 and TWSE. However, the rules do not perform well in more efficient markets such as the UK and the US stock markets.

着者Lam W.-S., Chong T.T.-L.
期刊名称Applied Financial Economics Letters
出版年份2006
月份http://aims.cuhk.edu.hk/converis/portal/Publication/1http://aims.cuhk.edu.hk/converis/portal/Publication/1
日期http://aims.cuhk.edu.hk/converis/portal/Publication/1
卷号2
期次6
出版社Routledge
出版地United Kingdom
页次40http://aims.cuhk.edu.hk/converis/portal/Publication/1 - 406
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/1744-6546
语言英式英语