Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market |
| |
| Affiliation: | 1. Faculty of Management, Multimedia University, Persiaran Multimedia, 63100 Cyberjaya, Selangor, Malaysia;1. Department of Business Administration, Fu Jen Catholic University, No. 510, Zhongzheng Rd., Xinzhuang Dist., New Taipei City 24205, Taiwan;2. Department of Business Administration, National Chin-Yi University of Technology, No. 57, Sec. 2, Zhongshan Rd., Taiping Dist., Taichung 41170, Taiwan;1. Patrick E. Molony Professor, Department of Economics, Auburn University, 138 Miller Hall, Auburn, AL 36849, United States;2. Department of Economics, University of California Santa Cruz, 1156 High Street, Santa Cruz, CA 95064, United States;1. LUISS G.Carli, Dipartimento di Economia e Finanza, Viale Romania 32, Roma, Italy;2. Università di Genova, Dipartimento di Economia, Via Vivaldi 2, 16126 Genova, Italy;1. Graduate School of Management, National Taiwan University of Science and Technology, Taiwan;2. Department of Risk Management and Insurance, National Chengchi University, Taiwan;3. School of Business, Central South University, China;4. Department of Financial Engineering and Actuarial Mathematics, Soochow University, Taiwan |
| |
| Abstract: | This study carries out investigation of technical analysis and Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR trading rules (more specifically SentimentWORLD-TAR) have better predictive power than technical trading rule, the magnitude of predictability is shown to vary with sectors. Robustness of results is further verified by in- and out-of-sample test and bootstrap analysis. As expected, the inclusion of transaction costs eliminates the trading profits for the majority of the trading rules. Nevertheless, results reveal that investors can gain substantially by combining Sentiment-TAR and TRB rules and by investing in certain sectors. |
| |
| Keywords: | Sentiment-TAR Technical trading rules Malaysia Data snooping Transaction costs |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
