Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis

Michael McAleer, John Suen and Wing-Keung Wong
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John Suen: Chinese University of Hong Kong

The Japanese Economic Review, 2016, vol. 67, issue 3, No 2, 257-279

Abstract: Abstract The paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of technical analysis (TA) strategies generating buy and sell signals, with and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy after the bubble burst, it not only produces returns that are significantly greater than buy-and-hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (MA) strategies.

Keywords: G1; C0 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (16)

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Journal Article: Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis (2016)
Working Paper: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis (2013)
Working Paper: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis (2013)
Working Paper: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis (2013)
Working Paper: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis (2013)
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DOI: 10.1111/jere.12084

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