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UM E-Theses Collection (澳門大學電子學位論文庫)

Title

Profitable trading strategies in Hong Kong stock market

English Abstract

This paper examines the profitability of various technical trading strategies, namely Variable Moving Average, Fix Moving Average and Trading Range Break. We further sub-divide each of these trading strategies into different trading rules by implementing various lengths of moving averages, local maximums and minimums. In addition to that, Out-of-Sample test is employed to help to pick the most profitable trading strategy to implement without bias. Over the whole period of study, Out-of-Sample test has consistently chosen both moving averages and local maximums & minimums length of fifty days, which is consistent with the findings in the traditional test. In addition, all mean returns generated by Out-of-Sample test are statistically larger that the benchmark mean daily returns. Furthermore, even with the inclusion of trading cost, the findings still reveal predictive ability of Out-of-Sample test. Finally, Out of Sample Test helps Variable Moving Average Trading strategy generate the most dollar profit among the three trading strategies.

Issue date

2003.

Author

Leong, Luis Miguel

Faculty

Faculty of Business Administration

Department

Department of Finance and Business Economics

Degree

M.B.A.

Subject

Stocks exchange -- Hong Kong

Capital market

Supervisor

Lam, Keith

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Location
1/F Zone C
Library URL
991000143099706306