Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures

References

• ASEAN Secretariat. (2012). ASEAN economic community handbook for business 2012. Viewed 7 April 2013, http://www.asean.org/images/2013/resources/publication/ASEAN_Economic_Community_Handbook_for_Business_2012.pdf.
   Google Scholar
• Asian Development Bank. (2013). The road to ASEAN financial integration: A combined study on assessing the financial landscape and formulating milestones for monetary and financial integration in ASEAN. Viewed 1 May 2013, http://www.adb.org/sites/default/files/pub/2013/road-to-asean-financial integration.pdf.
   Google Scholar
• Bessembinder, H., & Chan, K. (1995). The profitability of technical trading rules in the Asian stock markets. Pacific-Basin Finance Journal, 3, 257–284. doi: 10.1016/0927-538X(95)00002-3
   Google Scholar
• Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47, 1731–1764. doi: 10.1111/j.1540-6261.1992.tb04681.x
   Web of Science ®Google Scholar
• Chang, E. J., Lima, E. J. A., & Tabak, B. M. (2004). Testing for predictability in emerging equity markets. Emerging Markets Review, 5, 295–316. doi: 10.1016/j.ememar.2004.03.005
   Google Scholar
• Chen, C. W., Huang, C. S., & Lai, H. W. (2009). The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets. Journal of Asian Economics, 20, 580–591. doi: 10.1016/j.asieco.2009.07.008
   Google Scholar
• Daskalakis, G., & Markellos, R. (2008). Are the European carbon markets efficient? Review of Futures Markets, 17, 103–128.
   Google Scholar
• Ellman, A. (2011). Allan Ellman's complete encylopedia for covered call writing. US: Digital Publishing of Florida.
   Google Scholar
• Fama, E. (1998). Market efficiency, long-term returns and behavioral finance. Journal of Financial Economics, 49, 283–306. doi: 10.1016/S0304-405X(98)00026-9
   Web of Science ®Google Scholar
• Fifield, S. G., Power, D. M., & Donald Sinclair, C. (2005). An analysis of trading strategies in eleven European stock markets. The European Journal of Finance, 11, 531–548. doi: 10.1080/1351847042000304099
   Google Scholar
• Füss, R. (2005). Financial liberalization and stock price behaviour in Asian emerging markets. Economic Change and Restructuring, 38, 37–62. doi: 10.1007/s10644-005-4522-6
   Google Scholar
• Guidi, F., & Gupta, R. (2013). Market efficiency in the ASEAN region: Evidence from multivariate and cointegration tests. Applied Financial Economics, 23, 265–274. doi: 10.1080/09603107.2012.718064
   Google Scholar
• Hamid, K., Suleman, M., Ali Shah, S., and Imdad Akkash, R. (2010). Testing the weak-form of efficient market hypothesis: Empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics, 58, 121–133.
   Google Scholar
• Hoque, H. A., Kim, J. H., & Pyun, C. S. (2007). A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets. International Review of Economics and Finance, 16, 488–502. doi: 10.1016/j.iref.2006.01.001
   Google Scholar
• Hudson, R., Dempsey, M., & Keasey, K. (1996). A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices – 1935 to 1994. Journal of Banking and Finance, 20, 1121–1132. doi: 10.1016/0378-4266(95)00043-7
   Web of Science ®Google Scholar
• Islam, S. M., Watanapalachaikul, S., & Clark, C. (2007). Some tests of the efficiency of the emerging financial markets: An analysis of the Thai stock market. Journal of Emerging Market Finance, 6, 291–302. doi: 10.1177/097265270700600304
   Google Scholar
• Ito, A. (1999). Profits on technical trading rules and time-varying expected returns: Evidence from Pacific-basin equity markets. Pacific-Basin Finance Journal, 7, 283–330. doi: 10.1016/S0927-538X(99)00008-6
   Google Scholar
• Jensen, M. C. (1968). The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23, 389–416. doi: 10.1111/j.1540-6261.1968.tb00815.x
   Web of Science ®Google Scholar
• Kim, J. H., & Shamsuddin, A. (2008). Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. Journal of Empirical Finance, 15, 518–532. doi: 10.1016/j.jempfin.2007.07.001
   Web of Science ®Google Scholar
• Lim, K. P., Brooks, R. D., & Kim, J. H. (2008). Financial crisis and stock market efficiency: Empirical evidence from Asian countries. International Review of Financial Analysis, 17, 571–591. doi: 10.1016/j.irfa.2007.03.001
   Google Scholar
• Loh, E. Y. (2007). An alternative test for weak form efficiency based on technical analysis. Applied Financial Economics, 17, 1003–1012. doi: 10.1080/09603100600749352
   Google Scholar
• McNew, L. K. (2005). Simple system, big profits. Futures-Cedar Falls Iowa Then Chicago, 34, 48.
   Google Scholar
• Murphy, J. (1999). Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications. Paramus, New Jersey, US: New York Institute of Finance.
   Google Scholar
• Niblock, S. J., & Harrison, J. L. (2013). Carbon markets in times of VUCA: A weak-form efficiency investigation of the phase II EU ETS. Journal of Sustainable Finance and Investment, 3, 38–56. doi: 10.1080/20430795.2013.765381
   Google Scholar
• OCBC Securities. (2014). Commission rates and charges. Viewed 10 March 2014, http://portal.iocbc.com/assets/pdf/ospl/Consolidated%20Commission%20Charges.pdf.
   Google Scholar
• Pavlov, V., & Hurn, S. (2012). Testing the profitability of moving-average rules as a portfolio selection strategy. Pacific-Basin Finance Journal, 20, 825–842. doi: 10.1016/j.pacfin.2012.04.003
   Web of Science ®Google Scholar
• Raj, M., & Thurston, D. (1996). Effectiveness of simple technical trading rules in the Hong Kong futures markets. Applied Economics Letters, 3, 33–36. doi: 10.1080/758525512
   Web of Science ®Google Scholar
• Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25(4), 441–468. doi: 10.2307/2331010
   Web of Science ®Google Scholar
• Yu, H., Nartea, G. V., Gan, C., & Yao, L. J. (2013). Predictive ability and profitability of simple technical trading rules: Recent evidence from southeast Asian stock markets. International Review of Economics and Finance, 25, 356–371. doi: 10.1016/j.iref.2012.07.016
   Web of Science ®Google Scholar
• Zhu, Y., & Zhou, G. (2009). Technical analysis: An asset allocation perspective on the use of moving averages. Journal of Financial Economics, 92, 519–544. doi: 10.1016/j.jfineco.2008.07.002
   Web of Science ®Google Scholar