| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085341 | International Review of Financial Analysis | 2008 | 20 Pages |
Abstract
This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold portfolio. We assess the robustness of the results in various ways: by carrying out various statistical tests, by varying the period over which the evaluation is carried out, by using a recursive estimation procedure for the forecasting equation, by incorporating transactions costs, and by considering weekly and monthly data.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nicolaas Groenewold, Sam Hak Kan Tang, Yanrui Wu,