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

Yu-Lieh Huang

Applied Economics Letters, 2009, vol. 16, issue 14, 1477-1481

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.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:14:p:1477-1481

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DOI: 10.1080/13504850701578793

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