{"title":"Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis","authors":"Michael McAleer, John Suen, Wing Keung Wong","doi":"10.1111/jere.12084","DOIUrl":null,"url":null,"abstract":"<p>The 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 (<i>TA</i>) strategies generating buy and sell signals, with and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy 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 <i>TA</i> strategies without trading rules. We conclude that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (<i>MA</i>) strategies.</p>","PeriodicalId":45642,"journal":{"name":"Japanese Economic Review","volume":"67 3","pages":"257-279"},"PeriodicalIF":1.5000,"publicationDate":"2016-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/jere.12084","citationCount":"14","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Japanese Economic Review","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jere.12084","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 14
Abstract
The 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 and without our proposed trading rules. The empirical results show that, by applying long and short strategies during the bubble formation and a short strategy 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 that these bubble detection signals help investors generate greater wealth from applying appropriate long and short moving average (MA) strategies.
期刊介绍：
Started in 1950 by a group of leading Japanese economists under the title The Economic Studies Quarterly, the journal became the official publication of the Japanese Economic Association in 1959. As its successor, The Japanese Economic Review has become the Japanese counterpart of The American Economic Review, publishing substantial economic analysis of the highest quality across the whole field of economics from researchers both within and outside Japan. It also welcomes innovative and thought-provoking contributions with strong relevance to real economic issues, whether political, theoretical or policy-oriented.
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