Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

Type of content
Discussion / Working Papers
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
University of Canterbury. Department of Economics and Finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2013
Authors
McAleer, M.
Suen, J.
Wong, W. K.
Abstract

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble in NASDAQ. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies after the bubble burst, it not only produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.

Description
Citation
McAleer, M., Suen, J., Wong, W. K. (2013) Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis..
Keywords
Technical analysis, moving average, buy-and-hold strategy, dot-com bubble, Asian financial crisis, sub-prime crisis, moving linear regression, volatility.
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Fields of Research::38 - Economics::3801 - Applied economics::380107 - Financial economics
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