ARE NONLINEAR TRADING RULES PROFITABLE IN THE CHINESE STOCK MARKET?

Terence Tai Leung Chong, Tau-Hing Lam and Melvin Hinich
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Tau-Hing Lam: Department of Economics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong

Annals of Financial Economics (AFE), 2009, vol. 05, issue 01, 1-20

Abstract: The rise of China in the world economy has attracted a great deal of international attention. This paper investigates the performance of nonlinear self-exciting threshold autoregressive (SETAR) model-based trading rules in the Chinese stock market. We compare the performance of the SETAR model with the autoregressive (AR) model and the moving average (MA) trading rules. Our results indicate that trading rules are profitable in the B-share market, and that the nonlinear SETAR rule outperforms the other two linear rules in general.

Keywords: SETAR model; bootstrap; GARCH-M model; G11; G14 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S201049520950002X

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