The profitability of regression-based trading rules for the Shanghai stock market

Nicolaas Groenewold, Sam Hak Kan Tang and Yanrui Wu

International Review of Financial Analysis, 2008, vol. 17, issue 2, 411-430

Abstract: This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold portfolio. We assess the robustness of the results in various ways: by carrying out various statistical tests, by varying the period over which the evaluation is carried out, by using a recursive estimation procedure for the forecasting equation, by incorporating transactions costs, and by considering weekly and monthly data.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:2:p:411-430

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