Author : Po-Hsuan Hsu
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias by : Po-Hsuan Hsu
Download or read book Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias written by Po-Hsuan Hsu and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the quot;superior predictive abilityquot; (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data snooping bias. It is shown analytically and by simulations that the stepwise SPA test is more powerful than the stepwise Reality Check test of Romano and Wolf (2005, Econometrica). We then apply the proposed test to examine the predictive ability of technical trading rules based on the data of growth and emerging market indices and their exchange traded funds (ETFs). It is found that technical trading rules have significant predictive power for these markets, yet such evidence weakens after the ETFs are introduced.