Optimal trading strategy during bull and bear markets for Hong Kong-listed stocks

Eddie C. M. Hui; Ka Kwan Kevin Chan

doi:10.3846/ijspm.2018.5222

Optimal trading strategy during bull and bear markets for Hong Kong-listed stocks

Eddie C. M. Hui
, Ka Kwan Kevin Chan^*

^*Corresponding author for this work

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

2 Citations (Scopus)

8 Downloads (CityUHK Scholars)

Abstract

The “buy-and-hold” strategy based on the EMH was believed by many people to be optimal for a long time. However, there has been more criticism on the EMH since the global financial crisis in 2008. Hence many people attempt to find a trading strategy to beat “buy-and-hold”. Moreover, the financial market fluctuates a lot. Sometimes it is in a bull market, but it may be in a bear market during other periods of time, so the optimal strategy during different periods of time may vary and hence switching of strategies may be necessary. In this study, we apply Hui and Chan (2018)’s generalized time-dependent strategy on 12 Hong Kong listed stocks during the whole period of observation and two sub-periods. The results show that when the sub-period December 31, 2004 – December 31, 2008 is chosen, the strategy outperforms “buy-and-hold” by the largest extent. This reflects that the strategy is most effective during adverse market conditions. This study can help investors to apply appropriate trading strategies to earn more profits, and help property practitioners to improve their strategic property management to increase the value of their portfolio. © 2018 The Author(s).

Original language	English
Pages (from-to)	381-402
Journal	International Journal of Strategic Property Management
Volume	22
Issue number	5
DOIs	https://doi.org/10.3846/ijspm.2018.5222
Publication status	Published - 24 Sept 2018
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Funding

We are grateful for the financial support from the PolyU Internal Research Grant (Project # G-YBJL) and GRF (Project # B-Q42Q (PolyU 15 205 9/14E)).

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 10 Reduced Inequalities

Research Keywords

Moving-window size
Optimal
Shiryaev-zhou index
Trading strategy
“buy-and-hold”

Publisher's Copyright Statement

This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/

RGC Funding Information

RGC-funded

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10.3846/ijspm.2018.5222

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Cite this

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abstract = "The “buy-and-hold” strategy based on the EMH was believed by many people to be optimal for a long time. However, there has been more criticism on the EMH since the global financial crisis in 2008. Hence many people attempt to find a trading strategy to beat “buy-and-hold”. Moreover, the financial market fluctuates a lot. Sometimes it is in a bull market, but it may be in a bear market during other periods of time, so the optimal strategy during different periods of time may vary and hence switching of strategies may be necessary. In this study, we apply Hui and Chan (2018){\textquoteright}s generalized time-dependent strategy on 12 Hong Kong listed stocks during the whole period of observation and two sub-periods. The results show that when the sub-period December 31, 2004 – December 31, 2008 is chosen, the strategy outperforms “buy-and-hold” by the largest extent. This reflects that the strategy is most effective during adverse market conditions. This study can help investors to apply appropriate trading strategies to earn more profits, and help property practitioners to improve their strategic property management to increase the value of their portfolio. {\textcopyright} 2018 The Author(s).",

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Optimal trading strategy during bull and bear markets for Hong Kong-listed stocks

Abstract

Bibliographical note

Funding

UN SDGs

Research Keywords

Publisher's Copyright Statement

RGC Funding Information

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