Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7369
Type: Artigo
Title: Testing for predictability in emerging equity markets
Authors: Chang, Eui Jung
Lima, Eduardo José Araújo
Tabak, Benjamin Miranda
Abstract: In this paper we test whether returns for emerging stock markets are predictable. We analyze predictability by means of multivariate variance ratios using heteroscedastic robust bootstrap procedures. Empirical results suggest that emerging equity indices do not resemble a random walk while for developed country indices (US and Japan) we are not able to reject this hypothesis. Furthermore, by employing variable moving average (VMA) and trading range break (TRB) technical trading rules we show that there is some evidence of forecasting power. However, when we take into account trading costs and a buy and hold strategy, only a few rules generate positive excess returns. We check for robustness by analyzing returns from 1559 different trading rules, testing different sub-samples, analyzing returns in bear and bull markets, and also comparing results found for emerging markets to the US and Japan. Furthermore, for the US the Variable Moving Average trading rules suggested in Brock et al. [J. Finance 47 (1992) 1731] do not seem to have forecasting power for the recent sample used, which could be due to the fact that these rules have been widely employed by market participants having the potential abnormal gains from them disappear.
Keywords: Technical analysis
Emerging stock markets
Predictability
Citation: TABAK, Benjamin Miranda; CHANG, Eui Jung; LIMA, Eduardo José Araújo. Testing for predictability in emerging equity markets. Emerging Markets Review, v. 5, n. 3, p. 295-316, 2004.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/353
https://repositorio.ucb.br:9443/jspui/handle/123456789/7369
Document date: 2004
Appears in Collections:PPG - Revistas e Artigos Científicos

Files in This Item:
File Description SizeFormat 
Testing for predictability in emerging equity markets.pdf1.2 MBAdobe PDFView/Open


This item is licensed under a Creative Commons License Creative Commons