The Predictability, Profitability and Applicability of Technical Trading Over Buy-and-hold Strategy of the Malaysian Equity and Commodity Markets PDF Download
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Author: Mohammad Hanis bin Osman
Publisher:
ISBN:
Category :
Languages : en
Pages : 350
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Book Description
This thesis investigates the predictability, profitability and applicability of technical analysis in the Malaysian equities and commodity markets in relation to the naïve buy-and-hold strategy. In addition to the predictive ability and potential profit that may be generated by the technical analysis, the study also seeks to understand its usefulness when applying to different assets classes (inter and intra). The technical analysis incorporates the Variable Length Moving Averages, Fixed Length Moving Averages, Trading Range Breakouts and Bollinger Bands technical trading rules. The data of three Malaysian market indices - FTSE Bursa Malaysia Kuala Lumpur Composite Index, FTSE Bursa Malaysia Emas Shariah Index, Bursa Malaysia Crude Palm Oil Futures and two single stock counters - Maybank and Sime Darby - were examined. The predictive ability of the technical analysis is determined by testing the differences of market returns generated by the technical trading rules over the naïve buy-and-hold strategy. Accordingly, the breakeven cost of the technical trading rules is computed by apportioning the additional earnings generated by the rules over the total number of signals (buys and sells) created. The breakeven cost is then compared to the actual transaction cost. The technical trading is considered profitable if its returns exceed the actual transaction cost. Then, the relationship of the assets (inter and intra) against all of the technical trading rules tested are assessed via a rigorous tabulation analysis. The results record that the Variable Length Moving Averages and Fixed Length Moving Averages technical trading rules emerge to provide a significant degree of predictability as well as profitability over the data samples tested. However, the Trading Range Breakouts and Bollinger Bands technical trading rules are found not to be able to outperform the naïve buy-and-hold strategy in terms of both - the predictability and profitability in the similar markets. There is also no solid evidence found in terms of the advantage that could be derived in relation to the applicability of the technical trading rules over different assets classes (inter and intra). The results show that the benefit generated from the technical trading rules does not differ much if the technical trading rules were to be applied in (i) stock index or commodity index, (ii) stock index or single stock and (iii) conventional stock index or Shariah stock index; similar outcomes will be expected. Thus, the study believes that results obtained shall be worthy to the users; particularly, in the context of assets allocation decision-making.
Author: Mohammad Hanis bin Osman
Publisher:
ISBN:
Category :
Languages : en
Pages : 350
Get Book Here
Book Description
This thesis investigates the predictability, profitability and applicability of technical analysis in the Malaysian equities and commodity markets in relation to the naïve buy-and-hold strategy. In addition to the predictive ability and potential profit that may be generated by the technical analysis, the study also seeks to understand its usefulness when applying to different assets classes (inter and intra). The technical analysis incorporates the Variable Length Moving Averages, Fixed Length Moving Averages, Trading Range Breakouts and Bollinger Bands technical trading rules. The data of three Malaysian market indices - FTSE Bursa Malaysia Kuala Lumpur Composite Index, FTSE Bursa Malaysia Emas Shariah Index, Bursa Malaysia Crude Palm Oil Futures and two single stock counters - Maybank and Sime Darby - were examined. The predictive ability of the technical analysis is determined by testing the differences of market returns generated by the technical trading rules over the naïve buy-and-hold strategy. Accordingly, the breakeven cost of the technical trading rules is computed by apportioning the additional earnings generated by the rules over the total number of signals (buys and sells) created. The breakeven cost is then compared to the actual transaction cost. The technical trading is considered profitable if its returns exceed the actual transaction cost. Then, the relationship of the assets (inter and intra) against all of the technical trading rules tested are assessed via a rigorous tabulation analysis. The results record that the Variable Length Moving Averages and Fixed Length Moving Averages technical trading rules emerge to provide a significant degree of predictability as well as profitability over the data samples tested. However, the Trading Range Breakouts and Bollinger Bands technical trading rules are found not to be able to outperform the naïve buy-and-hold strategy in terms of both - the predictability and profitability in the similar markets. There is also no solid evidence found in terms of the advantage that could be derived in relation to the applicability of the technical trading rules over different assets classes (inter and intra). The results show that the benefit generated from the technical trading rules does not differ much if the technical trading rules were to be applied in (i) stock index or commodity index, (ii) stock index or single stock and (iii) conventional stock index or Shariah stock index; similar outcomes will be expected. Thus, the study believes that results obtained shall be worthy to the users; particularly, in the context of assets allocation decision-making.
Author: Elaine Loh
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 466
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Book Description
[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.
Author: National Intelligence Council
Publisher: Cosimo Reports
ISBN: 9781646794973
Category :
Languages : en
Pages : 158
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Book Description
"The ongoing COVID-19 pandemic marks the most significant, singular global disruption since World War II, with health, economic, political, and security implications that will ripple for years to come." -Global Trends 2040 (2021) Global Trends 2040-A More Contested World (2021), released by the US National Intelligence Council, is the latest report in its series of reports starting in 1997 about megatrends and the world's future. This report, strongly influenced by the COVID-19 pandemic, paints a bleak picture of the future and describes a contested, fragmented and turbulent world. It specifically discusses the four main trends that will shape tomorrow's world: - Demographics-by 2040, 1.4 billion people will be added mostly in Africa and South Asia. - Economics-increased government debt and concentrated economic power will escalate problems for the poor and middleclass. - Climate-a hotter world will increase water, food, and health insecurity. - Technology-the emergence of new technologies could both solve and cause problems for human life. Students of trends, policymakers, entrepreneurs, academics, journalists and anyone eager for a glimpse into the next decades, will find this report, with colored graphs, essential reading.
Author: Marc Levinson
Publisher: The Economist
ISBN: 1541742516
Category : Business & Economics
Languages : en
Pages : 250
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Book Description
The revised and updated 7th edition of this highly regarded book brings the reader right up to speed with the latest financial market developments, and provides a clear and incisive guide to a complex world that even those who work in it often find hard to understand. In chapters on the markets that deal with money, foreign exchange, equities, bonds, commodities, financial futures, options and other derivatives, the book examines why these markets exist, how they work, and who trades in them, and gives a run-down of the factors that affect prices and rates. Business history is littered with disasters that occurred because people involved their firms with financial instruments they didn't properly understand. If they had had this book they might have avoided their mistakes. For anyone wishing to understand financial markets, there is no better guide.
Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author: Leonard Zacks
Publisher: John Wiley & Sons
ISBN: 1118127765
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: Morton Glantz
Publisher: Academic Press
ISBN: 0124016944
Category : Business & Economics
Languages : en
Pages : 545
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Book Description
Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities
Author: El Bachir Boukherouaa
Publisher: International Monetary Fund
ISBN: 1589063953
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.
Author: Martin Kellermann
Publisher: World Bank Publications
ISBN: 1464813728
Category : Business & Economics
Languages : en
Pages : 275
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Book Description
In a modern world with rapidly growing international trade, countries compete less based on the availability of natural resources, geographical advantages, and lower labor costs and more on factors related to firms' ability to enter and compete in new markets. One such factor is the ability to demonstrate the quality and safety of goods and services expected by consumers and confirm compliance with international standards. To assure such compliance, a sound quality infrastructure (QI) ecosystem is essential. Jointly developed by the World Bank Group and the National Metrology Institute of Germany, this guide is designed to help development partners and governments analyze a country's quality infrastructure ecosystems and provide recommendations to design and implement reforms and enhance the capacity of their QI institutions.
Author: V. John Palicka
Publisher: McGraw Hill Professional
ISBN: 0071763104
Category : Business & Economics
Languages : en
Pages : 480
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Book Description
Question: What is the best way to make money on your investments? Answer: There is no one single quick answer. That’s why you need Fusion Analysis. One of the fastest-growing trends in investment today, fusion analysis combines the best of all possible strategies into one powerful, unified system. Based on the now-famous NYIF investment course taught by renowned portfolio manager V. John Palicka CFA CMT, this all-in-one guide shows you how to: Manage fundamental trends like gold investing and small-cap investing Master technical tools such as price forecasts and market data histories Recognize behavioral patterns like fear, greed, impulse, and sentiment Utilize quant systems to adapt, evolve, and balance your investments Whether you’re a hedge fund manager, a portfolio professional, or an individual investor, you’ll find a complete range of techniques that can work together for you. By combining the very best of all investment approaches, Palicka’s integrated system provides the perfect fusion of theory and practice. You’ll learn how to capitalize on the repeating nature of investment psychology—and avoid the emotional fallout that can rattle the market. You’ll learn how to strengthen and diversify your portfolio with strategic buys such as gold and other metals. You’ll learn how to identify future growth companies, evaluate real-estate opportunities, and evaluate your assets for the bigger picture. Once you fuse a strategy together, you can adjust your risks for the highest return possible. In today’s market, you need more than one strategy to grow your investments. You need the full-range potential of Fusion Analysis.
