Testing for predictability in emerging equity markets
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://twingo.ucb.br:8080/jspui/handle/10869/353 https://repositorio.ucb.br:9443/jspui/handle/123456789/7369 |
Resumo: | In this paper we test whether returns for emerging stock markets are predictable. We analyze predictability by means of multivariate variance ratios using heteroscedastic robust bootstrap procedures. Empirical results suggest that emerging equity indices do not resemble a random walk while for developed country indices (US and Japan) we are not able to reject this hypothesis. Furthermore, by employing variable moving average (VMA) and trading range break (TRB) technical trading rules we show that there is some evidence of forecasting power. However, when we take into account trading costs and a buy and hold strategy, only a few rules generate positive excess returns. We check for robustness by analyzing returns from 1559 different trading rules, testing different sub-samples, analyzing returns in bear and bull markets, and also comparing results found for emerging markets to the US and Japan. Furthermore, for the US the Variable Moving Average trading rules suggested in Brock et al. [J. Finance 47 (1992) 1731] do not seem to have forecasting power for the recent sample used, which could be due to the fact that these rules have been widely employed by market participants having the potential abnormal gains from them disappear. |
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Chang, Eui JungLima, Eduardo José AraújoTabak, Benjamin Miranda2016-10-10T03:51:15Z2016-10-10T03:51:15Z2004TABAK, Benjamin Miranda; CHANG, Eui Jung; LIMA, Eduardo José Araújo. Testing for predictability in emerging equity markets. Emerging Markets Review, v. 5, n. 3, p. 295-316, 2004.http://twingo.ucb.br:8080/jspui/handle/10869/353https://repositorio.ucb.br:9443/jspui/handle/123456789/7369In this paper we test whether returns for emerging stock markets are predictable. We analyze predictability by means of multivariate variance ratios using heteroscedastic robust bootstrap procedures. Empirical results suggest that emerging equity indices do not resemble a random walk while for developed country indices (US and Japan) we are not able to reject this hypothesis. Furthermore, by employing variable moving average (VMA) and trading range break (TRB) technical trading rules we show that there is some evidence of forecasting power. However, when we take into account trading costs and a buy and hold strategy, only a few rules generate positive excess returns. We check for robustness by analyzing returns from 1559 different trading rules, testing different sub-samples, analyzing returns in bear and bull markets, and also comparing results found for emerging markets to the US and Japan. Furthermore, for the US the Variable Moving Average trading rules suggested in Brock et al. [J. Finance 47 (1992) 1731] do not seem to have forecasting power for the recent sample used, which could be due to the fact that these rules have been widely employed by market participants having the potential abnormal gains from them disappear.Made available in DSpace on 2016-10-10T03:51:15Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Testing for predictability in emerging equity markets |
title |
Testing for predictability in emerging equity markets |
spellingShingle |
Testing for predictability in emerging equity markets Chang, Eui Jung Technical analysis Emerging stock markets Predictability |
title_short |
Testing for predictability in emerging equity markets |
title_full |
Testing for predictability in emerging equity markets |
title_fullStr |
Testing for predictability in emerging equity markets |
title_full_unstemmed |
Testing for predictability in emerging equity markets |
title_sort |
Testing for predictability in emerging equity markets |
author |
Chang, Eui Jung |
author_facet |
Chang, Eui Jung Lima, Eduardo José Araújo Tabak, Benjamin Miranda |
author_role |
author |
author2 |
Lima, Eduardo José Araújo Tabak, Benjamin Miranda |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Chang, Eui Jung Lima, Eduardo José Araújo Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
Technical analysis Emerging stock markets Predictability |
topic |
Technical analysis Emerging stock markets Predictability |
dc.description.abstract.por.fl_txt_mv |
In this paper we test whether returns for emerging stock markets are predictable. We analyze predictability by means of multivariate variance ratios using heteroscedastic robust bootstrap procedures. Empirical results suggest that emerging equity indices do not resemble a random walk while for developed country indices (US and Japan) we are not able to reject this hypothesis. Furthermore, by employing variable moving average (VMA) and trading range break (TRB) technical trading rules we show that there is some evidence of forecasting power. However, when we take into account trading costs and a buy and hold strategy, only a few rules generate positive excess returns. We check for robustness by analyzing returns from 1559 different trading rules, testing different sub-samples, analyzing returns in bear and bull markets, and also comparing results found for emerging markets to the US and Japan. Furthermore, for the US the Variable Moving Average trading rules suggested in Brock et al. [J. Finance 47 (1992) 1731] do not seem to have forecasting power for the recent sample used, which could be due to the fact that these rules have been widely employed by market participants having the potential abnormal gains from them disappear. |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
In this paper we test whether returns for emerging stock markets are predictable. We analyze predictability by means of multivariate variance ratios using heteroscedastic robust bootstrap procedures. Empirical results suggest that emerging equity indices do not resemble a random walk while for developed country indices (US and Japan) we are not able to reject this hypothesis. Furthermore, by employing variable moving average (VMA) and trading range break (TRB) technical trading rules we show that there is some evidence of forecasting power. However, when we take into account trading costs and a buy and hold strategy, only a few rules generate positive excess returns. We check for robustness by analyzing returns from 1559 different trading rules, testing different sub-samples, analyzing returns in bear and bull markets, and also comparing results found for emerging markets to the US and Japan. Furthermore, for the US the Variable Moving Average trading rules suggested in Brock et al. [J. Finance 47 (1992) 1731] do not seem to have forecasting power for the recent sample used, which could be due to the fact that these rules have been widely employed by market participants having the potential abnormal gains from them disappear. |
publishDate |
2004 |
dc.date.issued.fl_str_mv |
2004 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:51:15Z |
dc.date.available.fl_str_mv |
2016-10-10T03:51:15Z |
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info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
TABAK, Benjamin Miranda; CHANG, Eui Jung; LIMA, Eduardo José Araújo. Testing for predictability in emerging equity markets. Emerging Markets Review, v. 5, n. 3, p. 295-316, 2004. |
dc.identifier.uri.fl_str_mv |
http://twingo.ucb.br:8080/jspui/handle/10869/353 https://repositorio.ucb.br:9443/jspui/handle/123456789/7369 |
identifier_str_mv |
TABAK, Benjamin Miranda; CHANG, Eui Jung; LIMA, Eduardo José Araújo. Testing for predictability in emerging equity markets. Emerging Markets Review, v. 5, n. 3, p. 295-316, 2004. |
url |
http://twingo.ucb.br:8080/jspui/handle/10869/353 https://repositorio.ucb.br:9443/jspui/handle/123456789/7369 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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openAccess |
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Repositório Institucional da UCB |
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