MARKET EFFICIENCY AND PROFITABILITY OF TECHNICAL TRADING RULES: EVIDENCE FROM VIETNAM

We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012. The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each sub-period analyzed. Further, we ask whether a trader can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.