Template-type: ReDIF-Paper 1.0
Author-Name: Jukka Ilomäki
Author-Workplace-Name: Faculty of Management University of Tampere Finland.
Author-Name: Hannu Laurila
Author-Workplace-Name: Faculty of Management University of Tampere Finland.

Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: Asymmetric Risk Impacts of Chinese Tourists to Taiwan
Abstract: Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the 
	risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results 
	show that, on average, the lower is the frequency, the higher are average daily returns, even though the volatility is virtually unchanged when the 
	frequency is lower. The volatility from the highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, 
	but the average returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest randomly half 
	the time in stock markets and half in the risk-free rate.
Classification-JEL: G32, C58, C22, C41, D23.
Keywords: Market timing; Moving averages; Risk-free rate; Returns and volatility.
Length: 39 pages 
Creation-Date: 2018-14
Number: 2018-05
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1814.txt
File-URL: https://eprints.ucm.es/id/eprint/48450/1/1814.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1814