Profiting from Moving Averages and Time-Series Forecasts: Asian-Pacific Evidence

摘要

This paper examines trading strategies for predicting stock price movements by applying a combination of technical analysis and time series forecasts to the five Asian-Pacific stock markets of Australia, Indonesia, Japan, Malaysia and Singapore. For practitioners, the study shows how technical analysis may be improved by incorporating forecasting approaches. For policy-makers, an approach is demonstrated that better captures information contained in past prices and provides a superior proxy for the examination of weak form efficiency across international stock markets.