Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market

In this article, we apply the innovation regime-switching model, recently proposed by Kuan et al. (2005, JBES), to identify turbulent and calm regimes in stock prices. Based on the predictions of both regimes, we construct simple trading rules and investigate their profitability. Our results suggest that the proposed trading rules outperform the buy-and-hold strategy.

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Year of publication:	2009
Authors:	Huang, Yu-Lieh
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 14, p. 1477-1481
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008466600