MARKET EFFICIENCY AND PROFITABILITY OF TECHNICAL TRADING RULES: EVIDENCE FROM VIETNAM

Massoud Metghalchi

Journal of Prediction Markets, 2013, vol. 7, issue 2, 11-27

Abstract: We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012. The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each sub-period analyzed. Further, we ask whether a trader can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

Keywords: Technical Analysis, Trading Indicators, Market Efficiency; Technical Trading Rules; Stock Market Trading Strategies (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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