Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

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

No 2013-18, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: This 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 knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies 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 these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.

Keywords: Technical analysis; Moving average; Buy-and-hold strategy; Dot-com bubble; Asian financial crisis; Sub-prime crisis; Moving linear regression; Volatility. (search for similar items in EconPapers)
JEL-codes: C0 G1 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2013, Revised 2013-06
New Economics Papers: this item is included in nep-sea
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https://eprints.ucm.es/id/eprint/21682/1/1318.pdf (application/pdf)

Related works:
Journal Article: Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis (2016)
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)
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