Date of Publication

12-16-2022

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Applied Economics major in Financial Economics

Subject Categories

Finance and Financial Management

College

School of Economics

Department/Unit

Economics

Thesis Advisor

Krista Danielle Yu
Jesus Felipe
Maria Zunally Rapada

Defense Panel Chair

Krista Danielle Yu

Defense Panel Member

Jesus Felipe
Maria Zunally Rapada

Abstract/Summary

Several researches have provided empirical evidence that moving average distance (MAD) can be used in predicting equity returns focusing on developed markets. These ultimately challenge the proposition of the efficient market hypothesis (EMH) theory that historical prices cannot be used to create a strategy to predict returns. This study aims to test the robustness of moving average distance in the ASEAN stock markets using a statistical method that runs all possible combinations of the regressors. The Bayesian Model Averaging (BMA) approach is employed for fifteen control variables namely moving average distance signal (MDS), 200-day moving average signal, MAD threshold signal, moving average convergence divergence, momentum, market value of equity, book-to-market ratio, turnover, 52-week high, net stock issues, return on equity, return on assets, gross profitability, asset growth, and volatility on a monthly timeframe throughout January 2010 - January 2020 with a sample of 4, 524 firms. With BMA, thousands of regression combinations are estimated and results suggest that MAD is a robust predictor in the Philippines, Thailand, and Vietnam. Employing both Fama-Macbeth regressions and BMA, this study concludes that EMH is not evident in the three countries and there is anchoring in the trading indicators considered.

Abstract Format

html

Language

English

Format

Electronic

Keywords

Stock exchanges—Southeast Asia

Upload Full Text

wf_yes

Embargo Period

12-15-2024

Download

Available for download on Sunday, December 15, 2024

Share

COinS