Citation

Tan, Siow Hooi and Chong, Lee Lee and Tey, Eng Xin and Lai, Ming Ming (2020) Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market. North American Journal of Economics and Finance, 51. pp. 1-56. ISSN 1062-9408

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Abstract

This study carries out investigation of technical analysis and Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR trading rules (more specifically SentimentWORLD-TAR) have better predictive power than technical trading rule, the magnitude of predictability is shown to vary with sectors. Robustness of results is further verified by in- and out-of-sample test and bootstrap analysis. As expected, the inclusion of transaction costs eliminates the trading profits for the majority of the trading rules. Nevertheless, results reveal that investors can gain substantially by combining Sentiment-TAR and TRB rules and by investing in certain sectors.

Item Type:	Article
Uncontrolled Keywords:	Stocks, Sentiment-TAR, Technical trading rules, Malaysia, Data snooping, Transaction costs
Subjects:	H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	28 Dec 2020 17:32
Last Modified:	28 Dec 2020 17:32
URII:	http://shdl.mmu.edu.my/id/eprint/8025

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