Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that...

The classical capital asset pricing model postulates a linear relationship between stock returns and stock risks. However, a number of subsequent empirical studies have revealed some anomalies in this relationship, especially for firms with small size and high book-to-market values. A possible...

type="main" xml:id="jtsa12055-abs-0001"This article examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k₀. Consider the model y_t = β₁y_t − 1I{t ≤ k₀} +...

Chong and Ng (2008) find that the Moving Average Convergence-Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London stock exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is...

This paper studies the profitability of applying technical analysis that signals the entry and exit from the stock market in three Chinese stock markets - the Shanghai, Hong Kong and Taiwan Stock Exchanges. The Simple Moving Average (MA) and its extensions, Exponential MA, Dual MA, Triple MA,...

This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles,...

Most of the existing technical trading rules are linear in nature. This paper investigates the predictability of nonlinear time series model based trading strategies in the U.S. stock market. The performance of the nonlinear trading rule is compared with that of the linear model based rules. It...

The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question...

Chong and Lam and Chong et al. show that SETAR(200) and MA(50) outperform other rules in both the U.S. and the Chinese stock market. This paper investigates the synergy of combining SETAR(200) and MA(50) rules in ten U.S. and Chinese stock market indexes. It is found that the SETAR rule performs...