 Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock marketSiow-Hooi Tan, Ming-Ming Lai, Eng-Xin Tey and Lee-Lee Chong The North American Journal of Economics and Finance, 2020, vol. 51, issue C Abstract: This study carries out investigation of technical analysis and Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR trading rules (more specifically SentimentWORLD-TAR) have better predictive power than technical trading rule, the magnitude of predictability is shown to vary with sectors. Robustness of results is further verified by in- and out-of-sample test and bootstrap analysis. As expected, the inclusion of transaction costs eliminates the trading profits for the majority of the trading rules. Nevertheless, results reveal that investors can gain substantially by combining Sentiment-TAR and TRB rules and by investing in certain sectors. Keywords: Sentiment-TAR; Technical trading rules; Malaysia; Data snooping; Transaction costs (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302250 DOI: 10.1016/j.najef.2018.12.007 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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