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Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets

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  • Alhashel, Bader S.
  • Almudhaf, Fahad W.
  • Hansz, J. Andrew

Abstract

This study applies various popular technical trading rules to Asian property market indices from 1995 to 2015 to investigate the profitability of these rules. The results validate the predictive and profitability power of technical indicators in the markets of Indonesia, Malaysia, Taiwan, and Thailand but not in the markets of China, Hong Kong, Japan, the Philippines, and Singapore. For markets in which technical indicators are predictive, this ability is proven useful in generating returns in excess of buy-and-hold returns using four different trading strategies. The study's results hold even after including transaction costs, adjustments for risk, and data snooping. The results for the markets in which technical analysis is fruitful contradict weak-form market efficiency, whereas markets in which technical analysis is not successful are at least weakly efficient.

Suggested Citation

  • Alhashel, Bader S. & Almudhaf, Fahad W. & Hansz, J. Andrew, 2018. "Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 92-108.
    • Handle: RePEc:eee:pacfin:v:47:y:2018:i:c:p:92-108
    DOI: 10.1016/j.pacfin.2017.12.005
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    Cited by:

    1. Chen, Kuan-Hau & Su, Xuan-Qi & Lin, Li-Feng & Shih, Yi-Cheng, 2021. "Profitability of moving-average technical analysis over the firm life cycle: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    2. Barua, Ronil & Sharma, Anil K., 2023. "Using fear, greed and machine learning for optimizing global portfolios: A Black-Litterman approach," Finance Research Letters, Elsevier, vol. 58(PC).
    3. Peng, Yaohao & de Moraes Souza, João Gabriel, 2024. "Chaos, overfitting and equilibrium: To what extent can machine learning beat the financial market?," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    4. Tan, Siow-Hooi & Lai, Ming-Ming & Tey, Eng-Xin & Chong, Lee-Lee, 2020. "Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    5. Yang, Junmin & Cao, Zhiguang & Han, Qiheng & Wang, Qiyu, 2019. "Tactical asset allocation on technical trading rules and data snooping," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).

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    More about this item

    Keywords

    East Asia real estate; Market timing; Technical analysis; Trading indicators; Market efficiency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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