Market Efficiency and Profitability of Technical Trading Rules: Evidence from Vietnam

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Published: Oct 4, 2013
DOI: https://doi.org/10.5750/jpm.v7i2.632
Keywords:
Technical Analysis Trading Indicators Market Efficiency Technical Trading Rules Stock Market Trading Strategies

Main Article Content

Massoud Metghalchi
University of Houston - Victoria

Abstract

Market Efficiency and Profitability of Technical Trading Rules: Evidence from Vietnam Abstract            We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012.  The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each sub-period analyzed. Further, we ask whether a trader can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk.  Designing four strategies of various trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

Article Details

Issue
Vol. 7 No. 2 (2013)
Section
Articles
Author Biography

Massoud Metghalchi, University of Houston - Victoria

Professor of finance, school of business administration

References

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