Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis
This 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 knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies 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 these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.
|Asian financial crisis, buy-and-hold strategy, dot-com bubble, moving average, moving linear regression, sub-crime crisis, technical analysis, volatility|
|Mathematical and Quantitative Methods: General (jel C0), General Financial Markets (jel G1)|
|Erasmus School of Economics|
|Report / Econometric Institute, Erasmus University Rotterdam|
|Organisation||Erasmus School of Economics|
McAleer, M.J, Suen, J, & Wong, W.-K. (2013). Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis. Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–44). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/40351