Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?

被引：1
|
作者：
Yap, Kok-Leong [1 ]
Lau, Wee-Yeap [1 ]
Ismail, Izlin [1 ]
机构：
[1] Univ Malaya, Fac Business & Econ, Kuala Lumpur 50603, Malaysia
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2022年 / 09卷 / 04期
关键词：
Trading range breakout; GARCH; volatility; exchange-traded fund; West Texas inter-mediate; STOCK-MARKET VOLATILITY; CONDITIONAL HETEROSCEDASTICITY; ASYMMETRIC VOLATILITY; NEURAL-NETWORKS; TIME-SERIES; RETURNS; MODELS; LEVERAGE; ARBITRAGE; PRICES;
D O I：
10.1142/S242478632250027X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates whether the trading range breakout technical trading rule can be applied in exchange-traded funds. Using the samples of crude oil exchange-traded funds, namely USO, USL, UCO, and DBO, that track West Texas intermediate (WTI), the results indicate that the trading range breakout technical trading rule outperforms the benchmark buy-and-hold strategy. In addition, a volatility-based trading range breakout technical trading rule is proposed to enhance trading performance. The results suggest that the proposed TGARCH-MA can be used as a technical trading rule to assist investors and fund managers interested in using the trading range breakout in exchange-traded funds.
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页数：21
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