Predictability of Technical Trading Rules: Evidence from the Taiwan Stock Market

Using the Taiwan Stock Exchange Weighted Index from the first trading day in 1975 to the last trading day in 2007, we investigate the predictability of two popular technical rules (variable-length moving average and trading range breakout) in the Taiwan stock market and assess its bearing on market efficiency. Our results show that, for the two rules, returns from buy signals are generally higher than those from sell signals. In addition, they exhibit considerable predictive power over 1975-1985 and 1986-1996 but become less effective over 1997-2007. These results suggest that the financial reform and liberalization measures (particularly the QFII system) implemented since the early 1990s have contributed, to a certain extent, to the improved efficiency of the Taiwan stock market.


Issue Date:
2009-03
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/143216
Published in:
Review of Applied Economics, Volume 05, Number 1-2
Page range:
49-65
Total Pages:
17
JEL Codes:
G14; G15
Series Statement:
Vol.5
No.1-2




 Record created 2017-04-01, last modified 2017-04-28

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)