Technical trading strategies and cross-national information linkage: the case of Taiwan stock market

Yung-Ho Chang, Massoud Metghalchi and Chia-Chung Chan

Applied Financial Economics, 2006, vol. 16, issue 10, 731-743

Abstract: This study tests four prevalent moving average technical trading rules for Taiwan stock markets. More notably, cross-national information from the US stock markets is also incorporated in our technical trading rules to project Taiwan stock market movements. We then design trading strategies and investigate their predictive power over buy-and-hold strategy. Our results suggest that technical trading rules are predictive for Taiwan stock markets. Applying the information reflected in the US stock markets to project Taiwan stock market movements is comparable to using Taiwan stock market information in isolation because these two markets are strongly correlated. Finally our results indicate that Leverage/Money strategy helps investors to beat buy-and-hold strategy.

Date: 2006
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DOI: 10.1080/09603100500426374

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