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Назив: Bootstrap testing of trading strategies in emerging balkan stock markets
Аутори: Radovanov, Boris 
Marcikić, Aleksandra 
Датум издавања: 1-јан-2017
Часопис: E a M: Ekonomie a Management
Сажетак: © 2017, Technical University of Liberec. All rights reserved. Most 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.
URI: https://open.uns.ac.rs/handle/123456789/2429
ISSN: 12123609
DOI: 10.15240/tul/001/2017-4-008
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