This paper endeavors to compare the profitability of Moving Average Envelopes and Bollinger Bands. Despite the fact that Bollinger Bands can capture sudden price fluctuations which Moving Average Envelopes cannot, our study reveals that Bollinger Bands do not outperform the Moving Average Envelopes.

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session...

This paper develops a new kind of aggregation model. We extend the work of Linden (1999) to allow the AR coefficient to be drawn from a polynomial density function. The polynomial density incorporates a wealth of multi-modal density functions as special cases. Given the aggregate data, we...

This paper considers the asymptotic behavior of the break-point estimator when some or all of the variables in a structural-break model are misspecified. An obvious example is misspecifying a linear model as a log--log model. The results given here cover a large number of data transformations,...

This article explores the potential existence of comovements between the stock prices in Mainland China and Hong Kong. The cointegration test shows that the prices of a substantial number of A shares and H shares have started to cointegrate with each other after the launch of the Closer Economic...

This paper explores the effects of price limits on the stock market of China during global market turmoils. The characteristics of stocks that hit the price limits more frequently under market turmoil are investigated. It is found that the price limit system increases volatility significantly...

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k₀. Consider the model y_{t}=β₁y_{t-1}I{t≤k₀}+β₂y_{t-1}I{tk₀}+ε_{t}, t=1,2,⋯,T, where I{⋅} denotes the indicator function. We...

Chong and Ng (2008) find that the Moving Average Convergence-Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London stock exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is...

The Alchian-Allen (1964) effect states that when a fixed per-unit cost is added to two substitutes, the more expensive (higher quality) one becomes relatively cheaper, and, thus, its consumption will increase. When applied to trade in vertically-differentiated goods, the importing regions demand...