Mean non-stationarity and a CUSUM technical trading strategy : evidence from 10 stock markets.
Soh, Adrian Eng Hai.
Yip, Tsui Ling.
Wee, Lydia Lynn.
Date of Issue2000
College of Business (Nanyang Business School)
This paper investigates the return dynamics of key Asia-Pacific stock markets together with the highly developed markets of the United States and the United Kingdom, and determines the extent to which the sample period and method of analysis may bias the holding period returns.
Final Year Project (FYP)
Nanyang Technological University