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Journal of Economic Integration 2009 March;24(1) :135-150.
DOI: https://doi.org/10.11130/jei.2009.24.1.135
Profitability of Technical Analysis in the Singapore Stock Market: before and after the Asian Financial Crisis

James J. Kung Wing-Keung Wong 

Ming Chuan University
Hong Kong Baptist University
Copyright ©2009 Journal of Economic Integration
ABSTRACT

In the aftermath of the Asian financial crisis, a series of reform and liberalization measures have been implemented in Singapore to upgrade its financial markets. This study investigates whether these measures have led to less profitability for those investors who employ technical rules for trading stocks. Our results show that the three trading rules consistently generate higher annual returns for 1988-1996 than those for 1999-2007. Further, they generally perform better than the buy-and-hold (BH) strategy for 1988-1996 but perform no better than the BH strategy for 1999-2007. These findings suggest that the efficiency of the Singapore stock market has been considerably enhanced by the measures implemented after the crisis.

JEL Classification: G14, D92

Keywords: Asian financial crisis | profitability | technical analysis | moving average | trading range breakout
 
REFERENCE
1. Bailey, W., Stulz, R., Yen, S. (1990), "Properties of Daily Stock Returns from the Pacific Basin Stock Markets: Evidence and Implications", in S. Rhee and R. Chang (ed.), Pacific-Basin Capital Markets Research, Vol. I, North-Holland, pp. 155-171.
2. Bessembinder, H., Chan, K. (1995), "The Predictability of Technical Trading Rules in the Asian Stock Markets", Pacific-Basin Finance Journal, Vol. 3, pp. 257-284.
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