Exploring the Persistent Behavior of Financial Markets

Yi-Cheng Tsai, Chin-Laung Lei, William Cheung, Chung-Shu Wu, Jan-Ming Ho and Chuan-Ju Wang

Finance Research Letters, 2018, vol. 24, issue C, 199-220

Abstract: This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.

Keywords: Persistent Behavior; Index Futures; Trading Strategy (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:24:y:2018:i:c:p:199-220

DOI: 10.1016/j.frl.2017.09.010

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