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Technical trading strategies and cross-national information linkage: the case of Taiwan stock market

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  • Yung-Ho Chang
  • Massoud Metghalchi
  • Chia-Chung Chan

Abstract

This study tests four prevalent moving average technical trading rules for Taiwan stock markets. More notably, cross-national information from the US stock markets is also incorporated in our technical trading rules to project Taiwan stock market movements. We then design trading strategies and investigate their predictive power over buy-and-hold strategy. Our results suggest that technical trading rules are predictive for Taiwan stock markets. Applying the information reflected in the US stock markets to project Taiwan stock market movements is comparable to using Taiwan stock market information in isolation because these two markets are strongly correlated. Finally our results indicate that Leverage/Money strategy helps investors to beat buy-and-hold strategy.

Suggested Citation

  • Yung-Ho Chang & Massoud Metghalchi & Chia-Chung Chan, 2006. "Technical trading strategies and cross-national information linkage: the case of Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 731-743.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:10:p:731-743
    DOI: 10.1080/09603100500426374
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    2. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
    3. Jogiyanto Hartono & Dedhy Sulistiawan, 2015. "Performance Of Technical Analysis In Declining Global Markets," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 9(2), pages 41-52.
    4. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
    5. Salma Khand & Vivake Anand & Mohammad Nadeem Qureshi, 2020. "The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-38, March.
    6. Massoud Metghalchi & Linda A. Hayes & Farhang Niroomand, 2019. "A technical approach to equity investing in emerging markets," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 389-403, July.
    7. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.

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