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Identifying turbulent and calm regimes in stock prices: Evidence from the Taiwan stock market
Journal article   Peer reviewed

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

Applied Economics Letters, Vol.16(14), pp.1477-1481
09/2009

Abstract

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. © 2009 Taylor & Francis.

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