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Article: Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

TitleTesting the predictive ability of technical analysis using a new stepwise test without data snooping bias
Authors
KeywordsData snooping
Exchange traded funds
Reality check
SPA test
Stepwise test
Technical trading rules
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfin
Citation
Journal Of Empirical Finance, 2010, v. 17 n. 3, p. 471-484 How to Cite?
AbstractIn the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced. © 2009.
Persistent Identifierhttp://hdl.handle.net/10722/141768
ISSN
2015 Impact Factor: 0.907
2015 SCImago Journal Rankings: 0.879
SSRN
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorHsu, PHen_HK
dc.contributor.authorHsu, YCen_HK
dc.contributor.authorKuan, CMen_HK
dc.date.accessioned2011-09-27T03:00:41Z-
dc.date.available2011-09-27T03:00:41Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Empirical Finance, 2010, v. 17 n. 3, p. 471-484en_HK
dc.identifier.issn0927-5398en_HK
dc.identifier.urihttp://hdl.handle.net/10722/141768-
dc.description.abstractIn the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced. © 2009.en_HK
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jempfinen_HK
dc.relation.ispartofJournal of Empirical Financeen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsNOTICE: this is the author’s version of a work that was accepted for publication in <Journal of Empirical Finance>. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in PUBLICATION, [VOL 17, ISSUE 3, (2010)] DOI 10.1016/j.jempfin.2010.01.001-
dc.subjectData snoopingen_HK
dc.subjectExchange traded fundsen_HK
dc.subjectReality checken_HK
dc.subjectSPA testen_HK
dc.subjectStepwise testen_HK
dc.subjectTechnical trading rulesen_HK
dc.titleTesting the predictive ability of technical analysis using a new stepwise test without data snooping biasen_HK
dc.typeArticleen_HK
dc.identifier.emailHsu, PH: paulhsu@hku.hken_HK
dc.identifier.authorityHsu, PH=rp01553en_HK
dc.description.naturepreprinten_US
dc.identifier.doi10.1016/j.jempfin.2010.01.001en_HK
dc.identifier.scopuseid_2-s2.0-77951498441en_HK
dc.identifier.hkuros209509-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77951498441&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue3en_HK
dc.identifier.spage471en_HK
dc.identifier.epage484en_HK
dc.identifier.isiWOS:000277948100013-
dc.publisher.placeNetherlandsen_HK
dc.identifier.ssrn1087044-
dc.identifier.scopusauthoridHsu, PH=8974031100en_HK
dc.identifier.scopusauthoridHsu, YC=55462163800en_HK
dc.identifier.scopusauthoridKuan, CM=7005281447en_HK
dc.identifier.citeulike6571516-

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