Guneratne Wickremasinghe
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4 publications
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Purchasing power parity in Sri Lanka during the recent float: some empirical evidence
Investment Management and Financial Innovations Volume 6, 2009 Issue #4
Views: 503 Downloads: 183 TO CITE -
The profitability of MACD and RSI trading rules in the Australian stock market
Investment Management and Financial Innovations Volume 11, 2014 Issue #4 (cont.)
Views: 788 Downloads: 877 TO CITE -
Market efficiency and technical analysis during different market phases: further evidence from Malaysia
Investment Management and Financial Innovations Volume 14, 2017 Issue #2 (cont. 2) pp. 359-366
Views: 1361 Downloads: 258 TO CITE АНОТАЦІЯThe profitability of simple technical trading rules remains an interesting topic and has been thoroughly explored in the literature. In this paper, the authors investigate the profitability of two popular moving average (MA) rules in the Bursa Malaysia before, during and after the global financial crisis (GFC) of 2008-2009. Using variable length MA (VMA) and fixed length MA (FMA) technical rules, the authors explore if there were differences in their performance during the different market phases, and if swing traders can gain by trading on the basis of these strategies. When practical trading constraints are considered, the authors find that MA rules performed differently during the three market phases. Over time, the forecasting powers of these rules have diluted and they have performed poorly in the most recent subsample. The findings suggest that the Malaysian stock market is gradually becoming more efficient. This outcome can be attributed to the technological advancements and widespread use of exchange traded funds.
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Changes to the trading calendar and the day of the week effect in returns and volatility of the Saudi Stock Exchange
Investment Management and Financial Innovations Volume 19, 2022 Issue #4 pp. 160-170
Views: 307 Downloads: 66 TO CITE АНОТАЦІЯUntil June 29, 2013, the trading days of the Saudi Stock Exchange (TADAWUL) were from Sunday to Wednesday. From June 29, 2013, TADAWUL changed trading days and started trading from Sunday to Thursday. This paper investigates whether this change has impacted the day-of-the-week effect on returns and volatility of the Saudi Stock Exchange. After estimating several GARCH-type models, the EGARCH (2,2) model was selected for the analysis. The study found that the stock return on the week’s first trading day (Saturday) was positive during the previous trading calendar.
In contrast, the current trading calendar observed a positive stock return on the last trading day of the week (Thursday). Further, a negative volatility exists at the end of the week during the previous trading calendar. At the beginning of the week, there is a high degree of positive volatility during the current trading calendar. These results indicate that the behavior of stock returns is different between the two trading calendar regimes. In addition, the behavioral patterns on other trading days suggest that the Saudi stock market does not conform to the weak form of the efficient market hypothesis. The above findings indicate that investors in the Saudi stock market could devise trading rules to predict the market index and earn abnormal returns consistently.
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