The profitability of regression-based trading rules for the Shanghai stock market
This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold portfolio. We assess the robustness of the results in various ways: by carrying out various statistical tests, by varying the period over which the evaluation is carried out, by using a recursive estimation procedure for the forecasting equation, by incorporating transactions costs, and by considering weekly and monthly data.
Year of publication: |
2008
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Authors: | Groenewold, Nicolaas ; Tang, Kan ; Hak, Sam ; Wu, Yanrui |
Published in: |
International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 17.2008, 2, p. 411-430
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Publisher: |
Elsevier |
Saved in:
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