Bootstrap testing of trading strategies in emerging balkan stock markets

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dc.contributor.authorRadovanov, Boris
dc.contributor.authorMarcikić, Aleksandra
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2017-12-20
dc.date.available2017-12-20
dc.date.issued2017-12-20
dc.description.abstractMost lately, the attention of technical trading analysis has shifted to emerging stock markets which collectively bring a significant alternative source of opportunities to international investors. Accordingly, the aim of this paper is to investigate the effectiveness of four technical trading rules (moving average, filter, trading range breakout and channel breakout rule) in six stock market indices of the Balkan States. Also, the paper is providing resume evidence on the predictive power of four mentioned trading rules. We apply the Reality Check and the Superior Predictive Ability test using bootstrap methodology to evaluate the relative performance of those rules. Furthermore, presented tests provide an answer to data snooping problems, which is essential to obtain unbiased outcomes. The original time series is resampled with random draw in two ways: a parametric residual-based method from the AR(1)-GARCH(1,1) model, and a nonparametric, the moving block bootstrap. After including data snooping biases, this study finds that the null hypothesis that trading rules do not outperform the benchmark can be rejected at the 5 percent significance level for five separate stock indices, excluding the MBI10 index. Similarly, such results show the rejection of the weak-form market efficiency hypothesis in case of mentioned stock markets. Applied technical trading rule algorithms in all six stock market indices mainly generate more losing trades then wining trades. Finally, transaction costs have relatively small effect on the overall performance of selected technical trading rules in case of indices BELEX15, CROBEX, SBITOP and MONEX20, but with some changes in choice of the best technical trading rule considering the effects of trading frequencies.en
dc.formattext
dc.format.extent17 stran
dc.identifier.doi10.15240/tul/001/2017-4-008
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.urihttps://dspace.tul.cz/handle/15240/21382
dc.language.isoen
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisherTechnická Univerzita v Libercics
dc.publisher.abbreviationTUL
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dc.relation.ispartofEkonomie a Managementcs
dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjecttechnical trading rulesen
dc.subjectstock market indicesen
dc.subjectmarket efficiencyen
dc.subjectbootstrapen
dc.subjectdata snoopingen
dc.subject.classificationC15
dc.subject.classificationC22
dc.subject.classificationG14
dc.subject.classificationG15
dc.titleBootstrap testing of trading strategies in emerging balkan stock marketsen
dc.typeArticleen
local.accessopen
local.citation.epage119
local.citation.spage103
local.facultyFaculty of Economics
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue4
local.relation.volume20
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