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

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McAleer, Michael and Suen, John and Wong, Wing-Keung (2013) Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 18, 2013, ] (Unpublished)

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Official URL: http://eprints.ucm.es/21682/


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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 of 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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Technical analysis, Moving average, Buy-and-hold strategy, Dot-com bubble, Asian financial crisis, Sub-prime crisis, Moving linear regression, Volatility.
Subjects:Social sciences > Economics > Econometrics
JEL:G1, C0
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2013
Number:18
ID Code:21682
Deposited On:04 Jun 2013 14:54
Last Modified:13 Feb 2018 09:39

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