Browsing by Author "Balsara, Nauzer J."

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    The Chinese Stock Market: an Examination of the Random Walk Model and Technical Trading Rules
    (2007) Balsara, Nauzer J.; Chen, Gary; Zheng, Lin
    Using the variance ratio test, we reject the random walk null hypothesis for class A and class B stock market indexes traded on the Shanghai and Shenzhen stock exchanges. Consistent with this result, we find that the ARIMA forecasting model generates more accurate forecasts as compared to the naïve model based on the random walk assumption. We also observe significant positive returns for individual stocks after transaction costs on buy trades generated by the contrarian version of three commonly used technical trading rules: the moving average crossover rule, the channel breakout rule, and the Bollinger band breakout rule.
  • Thumbnail Image
    Item
    Momentum Strategies: Are They Effective in China?
    (2006) Balsara, Nauzer J.; Chen, Gary; Zheng, Lin
    This paper studies the effectiveness of the past return and the 52-week high momentum strategies for the recently established Chinese stock markets. We find that both strategies do not work in the aggregate across all class A and class B shares traded on the Shanghai and Shenzhen exchanges between 1991 and 2004. Our findings for the Chinese stock market are supportive of other research focusing on emerging stock markets in the Pacific Basin region. While we offer some conjectures for the failure of both momentum strategies in China, we do not have a precise explanation for our results. Further research needs to be carried out to investigate the ineffectiveness of momentum strategies in emerging markets.