Template-type: ReDIF-Paper 1.0
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Author-Name: John Suen
Author-Workplace-Name: Department of Statistics Chinese University of Hong Kong. 
Author-Name: Wing Keung Wong
Author-Workplace-Name: Department of Economics Hong Kong Baptist University. 
Title: Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
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.
Classification-JEL: C0, G1.

Keywords: Technical analysis, Moving average, Buy-and-hold strategy, Dot-com bubble, Asian financial crisis, 
	Sub-prime crisis, Moving linear regression, Volatility.
Length: 44 pages 
Creation-Date: 2013 
Revision-Date: 2013-06 
Number: 2013-18 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1318.txt
File-URL: https://eprints.ucm.es/id/eprint/21682/1/1318.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1318