Testing The Performance of Technical Analysis and Sentiment-TAR Trading Rules in The

Accepted Manuscript
Testing the performance of technical analysis and Sentiment-TAR trading rules

in the Malaysian stock market
Siow-Hooi Tan, Ming-Ming Lai, Eng-Xin Tey, Lee-Lee Chong
PII: S1062-9408(18)30225-0
DOI: https://doi.org/10.1016/j.najef.2018.12.007
Reference: ECOFIN 895
To appear in: North American Journal of Economics & Finance
Received Date: 14 May 2018

Revised Date: 10 November 2018
Accepted Date: 11 December 2018
Please cite this article as: S-H. Tan, M-M. Lai, E-X. Tey, L-L. Chong, Testing the performance of technical analysis
and Sentiment-TAR trading rules in the Malaysian stock market, North American Journal of Economics &
Finance (2018), doi: https://doi.org/10.1016/j.najef.2018.12.007
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Article title: TESTING THE PERFORMANCE OF TECHNICAL ANALSYSI AND
SENTIMENT-TAR TRADING RULES IN THE MALAYSIAN STOCK
MARKET
Authors’ name, Siow-Hooi Tan

affiliation & Faculty of Management
email: Multimedia University
Persiaran Multimedia
63100 Cyberjaya
Selangor, Malaysia
shtan@mmu.edu.my, shtanfly@gmail.com
Ming-Ming Lai
Faculty of Management
Multimedia University
63100 Cyberjaya
Selangor, Malaysia
PrMmLai@gmail.com
Eng-Xin Tey
63100 Cyberjaya
Selangor, Malaysia
RwFw2015@gmail.com
Lee-Lee Chong
63100 Cyberjaya
Selangor, Malaysia
l2chong72@gmail.com
Full postal address: Siow-Hooi Tan

(Corresponding) Faculty of Management
63100 Cyberjaya
Selangor Darul Ehsan
Malaysia
Tel.: +603-83125658
Fax: +603-83125590
email: shtanfly@gmail.com, shtan@mmu.edu.my
1
Acknowledgements
The authors thank the two anonymous referees for their constructive comments that have
improved the quality of the paper. The authors acknowledge the financial support from the
Ministry of Higher Education (MOHE), Malaysia, under Fundamental Research Grant Scheme
(Ref: FRGS/1/2014/SS05/MMU/02/7).
Testing the performance of technical analysis and Sentiment-TAR trading rules in the
Malaysian stock market
Abstract
This study carries out investigation of technical analysis and Sentiment-Threshold

Autoregressive (Sentiment-TAR) trading rules in the Malaysian stock market, using daily data
from Jan 1, 2001 through December 31, 2016. The findings reveal that while the Sentiment-TAR
trading rules (specifically SentimentWORLD-TAR and SentimentMARKET-TAR) have better
predictive power than technical trading rule, the magnitude of predictability is shown to vary
with sectors. Robustness of results is further verified by in- and out- of sample test and bootstrap
analysis. As expected, the inclusion of transaction costs eliminates the trading profits for
majorities of the trading rules. Nevertheless, results reveal that investors can gain substantially
by combining Sentiment-TAR and TRB rules and by investing in certain sectors.
JEL classifications: G14, G15
Keywords: Sentiment-TAR, Technical trading rules; Malaysia, Data snooping, Transaction

Costs
1. Introduction
Technical analysis is a popular method used by financial practitioners and investors when
making their investing decisions, i.e. when to buy and sell stocks. In fact, Menkhoff (2010)
observes that technical analysis, rather than fundamental analysis, has been extensively used by
the vast majority of practitioners as market timing and decision making tools. Technical analysis,
however, represents a challenge to the weak form efficient market hypothesis (EMH) of Fama
(1970). In the weak form of the EMH, all historical information has been incorporated into
today’s stock prices, and hence trading strategy based on technical analysis offer no or weak
predictability power and cannot beat the passive investment strategies. In academic, there is
extensive literature conducted in addressing the effectiveness of technical analysis through the
applications of technical trading rules in various financial markets (see Park and Irwn, 2007 for a
detailed review of the literature).
2
Given the continuing prevalence of technical analysis among practitioners and
accumulative empirical evidence showing the excellent predictive ability of technical trading
rules, there has been a growing attention in considering time series models to develop useful
trading rules in recent years. Specifically, nonlinear trading rules are shown to generate superior
predictive ability on recent data, while traditional technical trading rules enjoy only limited
success (see Perez-Rodriguez, Torra, and Andrada-Felix, 2005; Chong and Lam, 2010).
Moreover, the literature on investor sentiment that emerged in the 2000s also lead to the
conclusion that sentiment of investors attribute to stock return predictability (see Baker and
Wurgler, 2006, 2007; among others) and may be incorporated into time series models in
generating superior predictive trading rules (Chen, Chong and Duan, 2010).
This study aims to examine whether standard technical trading rules and Sentiment-
Threshold Autoregressive (Sentiment-TAR) trading rules contribute to the predictability and
profitability of sectoral stock returns in the Malaysian context. Among emerging markets, the
Malaysian stock market was one of the earliest to open its door to foreign investors. After the
1997/1998 episode, Malaysia had introduced various international investor-friendly measures in
the 2000s to boost foreign investment and put Bursa Malaysia back on the radar screen of
international fund managers (for details, see Jongwanich, Gochoco-Bautista, and Lee, 2011). As
compared to the stock exchanges in ASEAN countries, Bursa Malaysia has above 900 of listed
companies in 2016, ahead of its other peers such as Thailand, Indonesia, Singapore and the
Philippines. The market capitalization of Bursa Malaysia, on the other hand, has tripled from
US$119 billion in 2001 to US$363 billion in 2016 (Securities Commission Malaysia, 2017).
Based on the data compiled by Bloomberg, Bursa Malaysia achieved a world ranking of 5th
largest destination for initial public offerings (IPO) and shares sales in 2012, reflecting its
potentials to attract both local and foreign investors through the opportunities provided. The
significant growth of Bursa Malaysia has attracted the attention of academics as well as investors
who view the emerging markets as an opportunity to improve their returns and diversify their
risks (Buchanan, English, and Gordon, 2011). These points have made the Malaysia an
interesting case study in exploring various trading strategies which may lead to greater abnormal
profits.
3
Several compelling works have emerged to investigate the efficiency of emerging
markets and more specifically, the Malaysian stock market. Bessembinder and Chan (1995) is
the earlier work on the Malaysian stock market. This work was followed by Ratner and Leal
(1999), Lai and Lau (2006), Chen, Huang, and Lai (2009), and Yu, Nartea, Gan, and Yao (2013),
Alhashel, Almudhaf and Hansz (2018) and Narayan (2018).
There are several ways in which this strand of literature can be undertaken. First, the
literature on the profitability of Malaysian stock markets has essentially taken two directions:
studies that apply technical trading rules (Ratner and Leal, 1999; Lai and Lau, 2006; Chen et al.,
2009; Yu et al., 2013; Alhashel et al., 2018) and studies that use momentum-trading rules
(Alhashel et al, 2018; and Narayan, 2018). Recent study by Khan, Tan, and Chong (2017)
observes that the Malaysian individual investors exhibit psychological biases and sentiment such
like overreaction, self-attribution, overconfidence, etc. It is worth noting that while the 70% of
the total value traded in Bursa Malaysia is made by the Malaysian institutional investors,
individual investors traded heavily on the volume - indeed, about 50% of the total traded volume
is completed by individual investors. It is therefore crucial to consider rules which can
incorporate the investor sentiment components when evaluating on the predictive power and
profitability of trading rules.
Second, most literature has use market-level data in assessing the predictability of
Malaysian stock market (Ratner and Leal, 1999; Lai and Lau, 2006; Chen et al., 2009; Yu et al.,
2013) and hence assumes that the firms are homogenous. Several arguments arise in the past on
the need for sector-level analysis: (I) “Firms of different industries… may have different
sensitivities to business cycles… according to products they produce and the different stages of
their industry life cycle” (Chou, Ho, and Ko, 2012: p.359). As a result, different industries may
contain different levels of information about the state of the economy which contribute to the
sector heterogeneity. (II) “… few traders can pay attention to all sources of information” (Hong,
Torous, and Valkanov, 2007, p.368). Two implications arise are: investors do not process all
available information, and, investors in some industries have greater information processing
capacity than others. (III) The magnitude of predictability may vary with sectors probably owing
to the gradual diffusion of information from the market to the sectors (Sharma and Narayan,
4
2014; Narayan, Ahmed, Sharma, and Prabheesh, 2014; Narayan, Ahmed and Narayan, 2017).
(IV) The over-reaction and under-reaction of news by investors are likely to drive the sector
heterogeneity (Westerlund and Narayan, 2014 and Bannigidadmath, and Narayan, 2016).
Recently, there is a related branch of research that has demonstrated that firms are heterogeneous
and hence stock return predictability is industry-specific (Alhashel et al., 2018; and Narayan,
2018). One of the most recent contributions that are relevant to Malaysian stock market is from
Alhashel et al. (2018), who examine and provide evidence on the profitability of technical
trading in the Malaysian property stock index. Besides that, in another compelling analysis of the
sectoral profitability, Narayan (2018) does not find significant evidence of profitability in
Islamic stock markets, when momentum trading rules are applied.
Third, majorities of these earlier studies emphasize on the profitability of technical rules
rather than reliability. As argued by Sullivan, Timmermann, and White (1999), the effectiveness
of technical trading rules has been challenged due to the data-snooping issue – occurs when
researchers, either consciously or unconsciously, use the same set of data for many times in
model selection. It is therefore unclear if any of the technical trading rules is capable of
generating favorable outcomes under the consideration of the reliability, which can be evaluated
via out-of-sample tests and data snooping analysis.
Fourth, according to the work of Bessembinder and Chan (1998) and Yu et al. (2013), the
mixed results of stock return predictability may be attributed to the inclusion of transaction costs.
While the transaction costs have come down considerably attributed to the computerization of
trades in exchanges and the start of e-trading, the transaction costs are not zero, especially in
emerging market like Malaysia.
1.1 Motivation and contributions
Given the growing literature on the Malaysian stock market, there are clearly several issues
which are relatively less assessed:
1. Does the predictability of technical trading rules deviate from sector-to-sector?
5
2. Can the Sentiment-TAR trading rules be used to generate profits from the Malaysian
stock market? Do profits sector-dependent?
3. How reliable are these trading rules in different time periods and after considering the
data snooping issue?
4. Do technical, sentiment-TAR, or the combined rules remain profitable when the
transaction costs are taken into consideration?
To the best of the authors’ knowledge, these issues have not been addressed concurrently
and this study provides the first attempt at addressing each of these issues.
To address the first issue, this study follows other work such as Brock, Lakonishok, and
LeBaron (1992). Initially, three popular technical trading rules namely variable moving average
(VMA), fixed moving average (FMA) and trading range breakout (TRB) rules are applied to
daily stock data to determine if returns generated by these trading rules outperform the buy-hold
returns. To study their performance, the most popular parameters of these technical trading rules
from studies of daily data are considered. With that, this current work complements the earlier
studies by examining the predictive power of the trading rules not only at the market level, but in
sectoral stock returns.
In light of the increasing documentation of investor sentiment and the popularity of time-
series nonlinear models in predicting stock returns, the second issue is addressed in two stages.
The first stage involves the construct of sentiment index. Given the fact that there is no perfect
measure for investor sentiment, this study evaluates three proxies of sentiment index, namely
economics (SentimentECO), market (SentimentMARKET), and world (SentimentWORLD) sentiments.
In the second stage, the sentiment index constructed in stage one is then used as the threshold
variable in the threshold regression model. The predictability of these sentiment-based rules will
then be assessed. It is worth mentioned that while previous research concentrate on the capability
of a particular approach; such like technical trading rules, or time series model, this study
evaluates both the technical and sentiment-based trading rules.
6
To address the third issue, a series of the robustness checking are performed. Specifically,
in- and out-of-sample analysis is performed to investigate if the best three performing trading
rules in the in-sample period remains successful in the out-of-sample period. The bootstrap
methodology of White (2000) and Hansen (2005) are then applied to ensure if the performance
of the trading rules remains after taking into consideration the data-snooping effect.
The forth issue is addressed by investigating the profitability of trading rules after netting
the transaction costs is next evaluated. On top of it, this study also evaluates the synergy of
combining both technical and sentiment-based trading rules.
1.2 A summary of findings
The empirical analysis of this study offers some new findings and can be summarized as below.
1. VMA rules are shown to have considerable predictive ability in three sector indices, namely
plantation, property and technology and to some extent the remaining sectors (except
industrial index). For composite and sector indices, the VMA(1, 20, 0.01) rule has the highest
returns implying that the use of a band improve its trading returns. The FMA rules generate
significant performance only for three sector indices, namely finance, plantation and
property.
When TRB rules are considered, the average buy-sell spread in construction, finance,
industrial products, plantation, property and technology are positive and significant at 5%.
2. When SentimentECO and SentimentMARKET are used as proxies for sentiment index, the
predictability of returns provide mixed results. However, when SentimentWOLRD is used as
proxy for sentiment index, it is evidenced that all tested Sentiment-TAR rules generate
positive and significant buy-sell spread when composite and sector indices are examined.
The predictive power and returns generated by each sector are different, however. Several
studies, for instance, Baker and Wurgler (2006; 2007), have shown that in a
contemporaneous relationship, sentiment places more vulnerability on stocks that are
speculative and difficult to value and arbitrage (i.e. newer, smaller, more volatile, distressed,
7
extreme growth) compared to safe and easy to arbitrage stocks (i.e. regulated utilities, firm
with long earning history, stable dividend). In addition, recent research provide evidence that
firms in a different industry are reported to have different influential sentiment effect
(Narayan, Narayan, and Westerlund, 2015; Westerlund, Narayan, and Zheng, 2015;
Schmeling, 2009; and Kadilli, 2015). The finding of our study adds to the literature by
showing that Sentiment-TAR profits that exist on the Malaysian stock market have a sector
story, suggesting that investing in certain sectors are likely to be relatively more profitable.
Our findings complement the idea of this strand of literature by hypothesizing that the
Sentiment-Threshold Autoregressive (Sentiment-TAR) trading rules provides at least some
marginal benefits over the benchmark returns. The sentiment-TAR rules are also shown to
outperform the technical trading rules on the most recent data, in which the predictive ability
of traditional trading rules are disappeared. Yet, this study also cautious that not all of the
Sentiment-TAR trading rules generate superior sectoral return predictability.
3. For the robustness tests, this finding from in- and out-sample analysis show that while
majorities of the best three technical trading rules are shown to have predictive ability in the
in-sample period, these rules offer no predictability in the out-of-sample period. However,
results reveal that the SentimentWORLD-TAR rule generates significant predictability in both
the in- and out-of-sample analysis. Similar conclusions can be drawn when the bootstrap
analysis is conducted. This finding supports importance of investor sentiment and the
nonlinear models in generating superior predictive ability and hence echoes the AMH tenet
that more complicated trading rules remain profitable for longer periods.
4. This study also reveals that the combined strategy of Sentiment-TAR and TRB rules are
evidenced to generate a higher breakeven transaction costs than when the rules are applied
individually.
The remainder of the study is organized as follows. The next section presents the
methodology used in this study. Section 3 describes the data. Section 4 reports the empirical
results, and Section 5 provides conclusions.
8
2. Methodology
The analysis begins with the applications of technical trading rules and then Sentiment-TAR
trading rules to market and each sector index in the sample. The following two sub-sections will
discuss the rules used in generating trading signals. Subsequently, the various tests performed to
examine the ability of trading rules to predict stock returns and if these predictions can be
materialized are discussed.
2.1 Technical trading rules (TTRs)
There are an enormous number of TTRs employed in practice. In this study, the moving average
(comprises of variable-length moving average (VMA) and fixed-length moving average (FMA))
and the trading range breakout (TRB) will be utilized.
2.1.1 Variable-length moving average (VMA) and fixed-length moving average (FMA)
A moving average rule is implemented by constructing two moving averages; a long-term (MAL)
and a short-term moving average (MAS). The long-term (short-term) MA is simply a simple
average of observations over the past nL (nS) days, where nL > nS . The buy and sell trading
signals are triggered if the MAS crossovers the MAL. Simply put, an investor should buy (sell) if
the MAS rises above (falls below) the MAL.
However, if the values of MAS and MAL are very close to each other, the interactions between
both moving averages may tend to generate “whiplash” signals which barely generate significant
profits due to the increase in transaction costs. Brock et al. (1992) therefore propose to impose a
predefined percentage band (b) around the MAL to eliminate whipsaws which would indeed
increase the transaction costs, rather than profits. In particular, buy signals are triggered when
MAS > (1 + b)MAL; and sell signals are executed when MAS < (1 − b)MAL. If the MAS is inside
the band, no signal is produced:
Buy if MAS > (1 + b)MAL (1)

Sell if MAS < (1 − b)MAL (2)
9
The number of stock prices included in the MAS usually varies between 1 and 10 days
while the number of stock prices considered in the MAL is typically between 5 and 200 days.
It is noted that investors may or may not require to stay in the position for a certain time
period when a buy or sell signal is triggered. Under the variable-length moving average (VMA)
rules, the holding period after execution on the buy or sell signals is flexible, meaning that
investors are not required to stay in the position for a certain time period. In the fixed-length
moving average (FMA), once a buy or sell signal is executed, investors are required to hold the
similar position for a fixed number of days, for instance, C days, and ignore all other signals
within this fixed day period.
In this study, the most common variation of the rules used in the previous literature is
considered. Specifically, the parameters of the VMA rules can be written as (nS, nL, b), where nS
 {1, 5, 10}, nL  {5, 20, 50, 100, 150, 200}, and b  {0, 0.01}. This results in a total of 24
VMA rules. The set of parameters for FMA can be written as (ns, nl, b, C), where the chosen
values of ns, nl, b are the same as those for the VMA rules while the C is fixed at 10. These
parameters results in 18 FMA rules.
2.1.2 Trading Range Breakout (TRB)
The trading range breakout (TRB) indicator is also recognized as the support and resistance
indicator (Brock et al., 1992). The support (resistance) level is computed as a local minimum
(maximum) price over the previous m days in which:
(3)
(4)
Under the TRB rule, a buy signal is triggered when the current price penetrates the
resistance, a sell signal is issued when the current price falls below the support. Similar to the
10
MA rules, predefined percentage bands (b) and minimum holding periods (C) are allowed. In
particular,
Buy if Pt > (1 + b)Resistancet (5)
Sell if Pt > (1 + b)Supportt (6)
Again, the parameters set selected are among those being frequently used in the literature.
This study therefore considers the maximum and minimum prices based on the past 50, 150, and
200 days. In other words, the parameter values for TRB trading rules are set as: t  {1}, m 
{50, 150, 200}, b  {0, 0.01}, and C  {10}. These lead to total of six TRB rules: (1,50,0),
(1,50,0.01), (1,150,0), (1,150,0.01), (1,200,0) and (1,200,0.01).
2.2 Sentiment-threshold autoregressive (Sentiment-TAR) trading rules
In constructing Sentiment-TAR based trading rules, there is a need to first construct the
sentiment index as the direct measure of sentiment is not available. The constructed sentiment
index is then incorporated into the threshold autoregressive framework in constructing trading
rules.
2.2.1 Investor sentiment measures

Numerous measures of investor sentiment have been suggested in the extant literature.
Schmeling (2009) consider survey-based sentiment measure as the proxies of investor sentiment.
In the Malaysian context, Mat Nor, Ibrahim, and Rashid (2013), and Tuyon, Ahmand, and
Matahir (2015) consider the Consumer Sentiment Index (CSI) and the Business Condition Index
(BCI) as the sentiment measure. These measures, however, are only available on the quarterly or
monthly basis.
In measuring investor sentiment, Baker and Stein (2004) suggest the use of single
individual stock sentiment, in particular, liquidity, to serve as a sentiment indicator. Some
scholars, on the other hand, combine different sentiment proxies to construct a composite
sentiment index. For instance, Baker and Wurgler (2006, 2007), Chen et al. (2010) and Yang
and Zhou (2015) utilize the principal component analysis in constructing the investor sentiment
11
measure of U.S., Hong Kong and China stock markets respectively. The idea of utilizing the
principal component in constructing the investor sentiment, according to Baker and Wurgler
(2006), is mainly because majorities of the sentiment proxies are highly correlated with each
other. Also, as in Neely etl (2014), if each proxy captures different aspects of the true underlying
relevant common factors, a solution well known in the economics literature is to use a principal
component regression as a dimension reduction to aggregate the information from proxies.
Based on the work of Baker and Wurgler (2006, 2007) and Chen et al. (2010), this study
employs the principal-component approach in forming the investor sentiment index. This study
considers three measures of sentiment index, namely economics (SentimentECO), market
(SentimentMARKET), and world (SentimentWORLD) sentiment index.
For the SnetimentECO index, two key macroeconomic variables, namely interest rate
(KLIBOR) and exchange rate are considered. For the SnetimentMARKET index, three market
factors included are turnover ratio, Relative Strength Index (RSI) and Money Flow Index (MFI).
For SentimentWORLD index, performance of U.S., Japanese and emerging market stock markets,
are incorporated with the rationale that the Malaysian stock market is much smaller and hence
the investor sentiment is easily exaggerated by events happening in the U.S. and other Asian
countries. Each of the selected variables and how each of these variables relates to the investor
sentiment are discussed as below.
Interest Rate: Interest rate reflects the cost of capital. An increase in interest rate surges the cost
of capital which in turn reduces the profits of firms, and subsequently lowers the stock prices. A
high interest rate implies a bearish signal (lower sentiment) as investors leave the market, a low
interest rate indicates a bullish signal (higher sentiment) as investors are expected to participate
actively in the market. The Kuala Lumpur Inter-bank Offered Rate (KLIBOR), the official
indicator of the conditions in the interbank money in Malaysia, is used as the proxy of the
interest rate variable (IR).
Exchange Rate: Exchange rate movement is linked to international capital flows. An

appreciation of domestic currency will attract more international investors to demand for
12
domestic assets, and subsequently leading to a higher investor sentiment, vice versa. In this
study, daily end-of-period national currency per USD (MYR/USD) is utilized as the exchange
rate variable, and it is denoted as EX.
Market turnover ratio: Pagan and Sossounov (2003) observe that the sentiment among investors
is expected to be higher in bull market states and lower in bear market states. Since the market
turnover carries information about the market and is pro-cyclical, i.e. high when the market is
bullish, vice versa (Karpoff, 1987), the turnover can be served as the sentiment measure. Baker
and Stein (2004) also utilize the turnover as the investor sentiment measure. Following Chen et
al. (2010), the market turnover ratio (MTR) is computed as:
(7)
where and refer to the average turnover for the past 10 and 250 days
respectively.
Relative Strength Index: Relative Strength Index (RSI) has been used in the literature to illustrate
if the market is oversold or overbought and thus can be served as a sentiment measure. If the RSI
is below 50, the stock’s gains are said to be less than the losses, else if the RSI is above 50, the
stock’s gains are greater than the losses. Furthermore, if the RSI is above 80 (or below 20), the
market is overbought (or oversold). Chen et al. (2010) also incorporate the relative strength
index when constructing the sentiment index. In this study, the most commonly used RSI, which
is the 14-day RSI, is used and it can be defined as:
(8)
where if , and = 0 otherwise.
Money Flow Index (MFI): Similar to RSI, the money flow index also takes the values ranging
from 0 to 100. Similar to the RSI, an MFI of 80 (20) indicates that the stock is overbought
(oversold). It is noted that as the MFI captures the information about the price and turnover, a
discrepancy between the movements of MFI and price will therefore indicate a possible market
reversal (Chen et al. 2010). The money flow index is computed as:
13
(9)
(10)
where . Daily typical price is computed as
. The today’s money flow is viewed as positive money if the
typical price today is higher than that of yesterday, else it is labelled as negative money. The
positive money flow is the summation of all positive money while the negative money flow is
the total of all negative money in the previous N (=30 in this study) days accordingly.
The stock market performance: This study includes the performance of the world’s largest stock
markets - S&P 500 index; the most influential index in Asia-Pacific region - NIKKEI 225, and
the Emerging Market Stock Index as proxies to gauge investor sentiment. The performance of
the U.S. stock market is defined as SPt-1 = ln(SPt-1) – ln(SPt-2) due to the time-zone difference,
the rate of return of the Japanese and Emerging market stock index at time t on the other hand is
computed as JPt = ln(JPt) – ln(JPt-1) and EMt = ln(EMt) – ln(EMt-1) respectively.
Daily data of these variables used to construct the sentiment index spanning from 2001 to
2016 is collected and the summary statistics are as shown in Table 1.
[Insert Table 1]
The results of the principal component analysis for three proxies of sentiment index,
namely economics (SentimentECO), market (SentimentMARKET), and world (SentimentWORLD)
sentiment index are as reported below:
Economics-based Sentiment Index (SentimentECO):

SIt = ; Variance explained = 0.519
Market-based Sentiment Index (SentimentMARKET):

SIt = ; Variance explained = 0.653
14
World-based Sentiment Index (SentimentWORLD):
SIt = ; Variance explained: 0.68
From the reported coefficients, it is noted that the turnover ratio (MTR), RSI and MFI are
positively related to investor sentiment. Interest rate however, is negatively related to sentiment
measure. As expected, as the currency appreciation attracts international capital inflows, the
negative coefficient is expected between exchange rate and sentiment. An increase in the U.S.,
Japanese and emerging market stock performance will increase the Malaysian investor
sentiment.
2.2.2 Sentiment-TAR model
In generating trading rules, this study follows Chen et al. (2010) to utilize the sentiment
index constructed earlier (SentimentECO, SentimentMARKET, SentimentWORLD) as the threshold
variable in the multivariate threshold model. Specifically, a two-regime TAR(p) model (Tong
and Lim, 1980) for the stock-index returns is first estimated:
(11)
where refers to , the first difference of the natural logarithm of the stock
index at time t, and (the constructed sentiment index) denotes the threshold variable, d is the
delay parameter, as the threshold value, and and are the estimates of the parameters.
With the above estimation, the recursive technique is utilized (Chong and Lam, 2010) to
generate the Sentiment-TAR one-step-ahead predicted series ( ). The Sentiment-TAR
trading rule can then be defined as:
buy if (12)
sell if (13)
15
where w, the length of the observation window and , the predicted return based upon
information from the most recent w observations.
The selection of p-order and lengths of the window (w) is arbitrary. However, to be
consistent with the parameters selected in technical trading rules, the p-order of Sentiment-TAR
model are set at 1, 2, and 5 while the lengths of the window (w) are set at 50, 150 and 200. The
selection of p and w results in 9 Sentiment-TAR trading rules.
2.3 Predictive power of trading rules
A trading rule is said to have predictive ability when positive (negative) returns generated by buy
(sell) signal are statistically different from the buy-hold returns (Brock et al., 1992). In this study,
the same criterion of return predictability for technical and Sentiment-TAR trading rules will be
used.
To evaluate the significance of the mean daily returns generated by the buy and sell
signals ( and ) net of the daily unconditional mean returns generated by a buy-hold strategy
( ), the null and alternative hypotheses are set as: H0: and HA: while t-
statistic is defined as: , where represents the number of buy (sell)
days, and N is the number of observations. is the variance of the daily return over the whole
sample period. A trading rule is said to having the predictive ability if the null is rejected.
Besides the significant buy and sell signals, the significance of the buy-sell spread, on the
other hand, is also computed as it provides the return of a complete transaction. The null and
alternative hypotheses are set as H0: and HA: and the t-statistic is calculated as:
. Here, if the is statistically significant different from , one may
conclude that the trading rules are useful.
2.4 Robustness test: Bootstrap analysis
16
Data snooping could lead to false conclusions about the profitability of TTRs (Neely and Weller,
2001). Hence, both the White’s (2000) Reality Check (WRC) test and the Superior Predictive
Ability (SPA) test developed by Hansen (2005) are employed to check if the superior
performance is attributed to the trading rules, or due to pure luck. In brief, the WRC is designed
to test if the best rule outperforms the benchmark (i.e. buy-hold) strategy based on the least
favorable configuration (LFC). The SPA approach, on the other hand, tests if the best rule beats a
buy-hold strategy by utilizing the studentized process to exclude the irrelevant trading models in
the sample.
The procedure for WRC test can briefly be explained as follows. First, the returns of the
k-th rule relative to the benchmark strategy is defined as k,t(k = 1, 2, …, m and t = 1, 2, …, n).
Second, as the main interest is in assessing if there exists a superior rule in the pool of k rules as
compared to the benchmark, the null hypothesis to be tested is set as
where E( ) is the expected return of rule k. Rejection of the null implies the superior
performance of trading rule when comparing the benchmark returns. In testing the hypothesis,
the block re-sampling procedure of Politis and Romano (1994) is implemented where 500
pseudo time-series is generated from the observed value . Following this, two statistics
are constructed from the actual series and the pseudo series as:
, (14)
(15)
where n is the number of observations, and and the averages of the actual series and the
pseudo series. The White (2000) p-value is obtained by the comparison between and
quintiles. One can conclude that the best trading rule outperforms the benchmark if the p-
value is less than the given significance level.
The same procedures go to the SPA tests, except that Hansen (2005) employed the
studentized process to exclude the irrelevant rules in the sample. More specifically, the two
statistics are computed as:
17
, (16)
(17)
where is a consistent estimator for return variance, and is the threshold used for the
removal of the irrelevant rules. Similar to White’s Reality Check test, the p-value for the Hansen
(2005)’s superior predictive ability test is computed by comparing between and
quantiles.
2.5 Calculation of breakeven transaction costs
Trading in financial markets incur transaction costs. Investors who apply a trading rule that
generates more frequent trading signals will definitely incur higher transaction costs. As a result,
a trading rule can be concluded to be profitable only if it generates positive trading return ( )
after netting out transactions costs.
Given that the transaction cost is payable both during buying and selling, the round-trip
breakeven transaction costs (BETC), as referred by Bessembinder and Chan (1995), can be
computed by dividing the trading return (π), by the number of buy (NB) and the number of sell
(NS) signals as below:
BET (18)
Hence, for the trading rules to be considered profitable, the round-trip breakeven costs
(i.e., the minimum level of transaction costs that could completely erode the profitability of the
trading rules) must outweigh the estimated round-trip transaction cost.
3. Data
The daily stock market composite and nine sector indices data is collected from Datastream.
These data series include FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI),
Bursa Malaysia Construction Index (CON), Bursa Malaysia Consumer Products Index (COP),
18
Bursa Malaysia Finance Index (FIN), Bursa Malaysia Industrial Index (IND), Bursa Malaysia
Industrial Products Index (INP), Bursa Malaysia Plantation Index (PLN), Bursa Malaysia
Property Index (PRP), Bursa Malaysia Trading and Services Index (TAS), Bursa Malaysia
Technology Index (TEC), and Bursa Malaysia Mining Index (TIN), from January 2001 to
December 2016. There are total of 3940 observations1.
The daily return is defined as:

(19)
where rt is the daily return by comparing the price index on trading day t and t-1.
Panel A of Table 2 reports the summary statistics of the daily return for market composite
and nine sector indices. All stock returns, bet it market composite or sector indices returns, are
shown to be leptokurtic, skewed and not normally distributed. The serial correlation in stock
returns is evidenced from the significant of AR(1) and the Ljung–Box Q(5) statistics, implying
the possibility of the existence of trading-rule profits. Construction (CON), plantation (PLN),
property (PRP), technology (TEC), mining (TIN) sectors are shown to be more volatile as
compare to the other sectors. The correlation matrix in Panel B on the other hand reveals that
although the correlation between the sector returns are positive, the magnitude of the coefficients
differ, implying that the profitability may be sector-specific.
[Insert Table 2]
4. Empirical Results
4.1 Trading rules predictability

4.1.1 VMA trading rules
Table 3 reveals the results of the predictability of VMA rules. Columns labeled with “Buy”,
“Sell” and “Buy-Sell” are the daily conditional mean for buy, sell and buy-sell returns. The buy-
sell returns can also be inferred as the returns when short selling is allowed. Columns “t-stat” are
1
The TEC index was available only after May 2000. Hence, we set the starting period of our analysis to January
2001.
19
the t-statistics for “Buy”, “Sell” and “Buy-Sell”. The “Buy > 0” and “Sell > 0” columns refer to
the portion of buy and sell signals that generate positive returns while the (Buy) and (Sell)
denote to the standard deviation of buy and sell returns respectively. With the selection of short-
term moving averages (MAS) as 1, 5 and 10 and the use of long-term moving averages (MAL) as
50,150 and 200, together with the 0%, and 1% of bands, a sum of 24 VMA rules are
investigated.
For FBMKLCI, only four (13) of the 24 VMA rules generated significant positive
(negative) mean buy(sell) returns, as compared to the benchmark return. The buy-sell spread,
however, was significantly different for 23 of the 24 VMA rules for FBMKLCI. The significant
return differentials between buy and sell signals, according to Bessembinder and Chan (1995),
indicate the ability of the technical rules in conveying economic information.
By scrutinizing on the sector indices, it is reported that for IND and TIN, none (one) of
the buy(sell) signals produced statistically significant returns as compared to the buy-hold
returns. For the CON, COP, FIN, INP, and TAS, while majorities of the buy (sell) returns are
positive (negative) (the full report is not shown but is available upon request), only 3-7 VMA
rules (or 13%-29% of the 24 VMA rules) reveal positive and statistically significant buy returns,
as compared to buy-hold strategy returns. On the other hand, there are 7-12 out of the 24 VMA
rules (or 29%-50% of the 24 VMA rules) which reveal negative and significant sell returns for
these indices, as compared to average return. Interestingly, the VMA rules are found to show
strong predictive ability in three sectoral indices, namely PLN, PRP and TEC. For PLN and
TEC, 10 (23) and 19 (18) of VMA rules generate positive (negative) and significant buy (sell)
signals respectively. PRP is the only one sector in which all 24 VMA rules produce positive
(negative) and significant buy(sell) returns as compared to the buy-hold returns. The buy-sell
column of Table 3 also reveals that the average buy-sell spread across all 24 strategies are
positive and statistically significant for all sector indices (except IND and TIN), implying the
predictive power of the VMA trading rules for these sectors. In the majority of rules considered,
the risk following sell signals ((Sell)) was greater than that following buy signals ((Buy)).
20
In brief, VMA rules are revealed to have considerable predictive ability in the three
sector indices, namely PLN, PRP and TEC and to some degree the remaining sectors except IND
and TIN. Hence, the VMA rules are evidenced to beat the benchmark buy-hold strategy in
Malaysia. As the predictive ability is sector-dependent, this finding provides support for Narayan
et al. (2014) and Narayan et al. (2017) on the need for studying the sector-level.
.
A comparison of the 24 VMA rules reveals that the (1,20,0.01) outperform the other
VMA trading rules as it generates the highest significant average returns across the composite
and sector indices. Lai et al. (2006) in their studies of the Asian stock markets, Gunasekarage
and Power (2001) in testing the four South Asian stock markets (Bangladesh, India, Pakistan,
and Sri Lanka); and Zhu et al. (2015), in evaluating these rules of two Chinese stock markets,
simultaneously observe and confirm the superior performance of the short term variants of
technical trading rules in the stock markets under investigation. Besides, the superior
performance of the technical rules with the band of 1% is also observed in the earlier studies by
Bessembinder and Chan (1995), and Gunasekarage and Power (2001).
[Insert Table 3]
4.1.2 FMA trading rules
The results for a total of 18 FMA rules with a 10-day holding period and the 0% and 1% bands,
for each index are shown in Table 4. As compared to Sentiment-TAR and VMA rules, only a
handful of the FMA trading rules are shown to have the predictive ability. In particular, out of
the 198 FMA rules tested (1 composite and 10 sector indices with 18 FMA rules each), 2 rules
(17 rules) generate statistically significant positive (negative) buy (sell) returns as compared to
the benchmark buy-hold strategy. None of the buy signals are able to generate statistically
significant positive returns. Besides, except for CON, FIN, INP and PRP, majorities of the sell
signals failed to predict market movements.
By examining solely on the buy-sell spread of FBMKLCI, it is observed that only 3 out of the 18
FMA rules are positive and significant. The spreads between the buy and sell, however, are
21
significant for at least 9 trading rules in all 18 cases for FIN, PLN, PRP and TEC, support the
assertion that the FMA rules have stronger predictive ability in these four sectors but not in the
other remaining sectors. Similar to the VMA results, it is also noted that the best rule (rule that
generates the largest return) is consistently attained by the trading rules with a band of 1%.
[Insert Table 4]
4.1.3 TRB trading rules
The findings of TRB rules are summarized in Table 5. As mentioned earlier, maximum
(minimum) past prices of 50, 150, and 200 days, together with the 0% and 1% of bands are
considered, resulting in a total of six TRB rules for each stock index.
For the 66 TRB rules tested (1 composite and 10 sector indices with six TRB rules each),
16 rules (31 rules) generate statistically significant positive (negative) buy (sell) returns as
compared to benchmark returns. The TRB rules were successful in triggering buy signals for
INP, PLN and PRP given the significant and positive average buy returns in all of the tested rules
for these sectors. Meanwhile, the statistically significant and negative average sell returns is
evidenced in CON, FIN, INP, PLN, PRP and TEC, hence implying the predictive ability of the
future market movements for these particular rules. Moreover, the average buy-sell spread in six
of the sector indices (CON, FIN, INP, PLN, PRP and TEC) is significant at 5%.
Unlike the VMA in which the best rules are similar across the indices, the situation is
much more complicated for the TRB rules where the best rule varies for different indices. It is
worth noting that while the TRB rule with the previous 200 days is the most profitable rule for
FIN, PLN and PRP, the TRB rule with the previous 50 days outperform the other rules for TEC.
Compared with FMA, TRB rules are able to generate higher returns for the sector
markets. The superior performance achieved by TRB as compared to FMA rules is also
supported in the earlier study of Bessembinder and Chan (1995).The success of TRB rules in
generating higher profits in comparison to the FMA rules in turn challenges the earlier literature
22
which rely their trading strategies solely on the VMA and FMA rules as it unintentionally
excludes trading strategies which may be superior in predictive ability (e.g., Gunasekarage and
Power 2001; Ratner and Leal 1999).
[Insert Table 5]
4.1.4 Sentiment-TAR trading rules
Table 6 (Panels A-C) contain the estimation results of the Sentiment-TAR(1) models:
SentimentECO-TAR(1), SentimentMARKET-TAR(1), and SentimentWORLD-TAR(1). The significant
AR estimates in both regimes suggesting the existence of regime switching and jumps in the
stock returns. The significant p-values of the likelihood ratio test of Hansen (2000) in majorities
of the models tested (shown in last row) support the existence of threshold effects. Similar
findings are revealed based on the results of Sentiment-TAR(2) and Sentiment-TAR(5) models.
The tables are not provided to conserve space but are available upon request.
The findings of the predictability of the Sentiment-TAR rules for the market composite
(Panel A) and 10 sector indices (Panels B-K) are presented in Table 7. The Sentiment-TAR rules
are represented as Sentiment-TAR(p,W), where p and W denote the AR order and the window
width respectively. In addition, among the three proxies of sentiment index used,
SentimentWORLD-TAR is shown to have better predictive ability as compared to
SentimentMARKET-TAR and SentimentECO-TAR. This implies that the Malaysian’s investor
sentiment is easily exaggerated by events happening in the U.S. and other Asian countries, rather
than the market factors and economics factors. As the results are self-explanatory, the following
discussion will focus only on the SentimentWORLD-TAR.
[Insert Tables 6 and 7]
As reported in Table 7 (Panel A), results show that the returns generated by “Buy”
signals are positive in every SentimentWORLD-TAR rule studied and the returns of the “Sell”
signals are negative, implying the ability of trading signals in detecting the “uptrend” and the
“downtrend” of the market. The t-statistic of buy (sell) returns in all cases studied are not only
23
positive (negative) but also statistically significant at the 5% level. The buy-sell spreads, on the
other hand, are all positive and significant at the 5% level, suggesting the predictive ability of the
SentimentWORLD-TAR rules in the daily composite data. By switching to the sector indices
(Panels B-K of Table 7), one may observe that the SentimentWORLD-TAR rules continues to
outperform the other trading rules. In particular, it is noted that out of the 90 SentimentWORLD-
TAR rules tested (10 sector indices with 9 SentimentWORLD-TAR rules each), 84 rules (85 rules)
reveal statistically significant positive (negative) for buy (sell) returns, suggesting that the ability
of trading rules to outperform the buy-hold strategy. The portion of buy and sell signals are quite
different which also supports the effectiveness of the trading strategies. In addition, it is also
observed that the risk for “Buy” signals ((Buy)) is less than the risk for “Sell” signals ((Sell))
for market composite and 10 sector indices.
When comparing the different SentimentWORLD-TAR rules across the market composite
and sector indices, the SentimentWORLD-TAR rule (1,200) is shown to be the best performing
trading rule across composite and all sector indices. It is also worth noting that the return
generated from the SentimentWORLD-TAR trading rules increases as the window width (W)
increases. For instance, by comparing the rules of (1,50), (1,150) and (1,200) for FBMKLCI, the
results reveal an increase on the overall buy–sell return from 0.553% to 0.677% as the window
width varies from 50 to 200 days. This similar conclusion is also found in Chong and Lam
(2010) when the SETAR trading rules are applied for the DJIA and S&P500 series. On the other
hand, for a given window width, a decline in buy-sell profit is evidenced as the length of the
AR(p) order increases. More specifically, days from a comparison of the (1,200), (2,200) and
(5,200) TAR rules for FBMKLCI, the results reveal a decline of the buy–sell return from 0.677%
to 0.394% as the AR(p) order increases from 1 to 5 days.
In addition, while all the returns of buy-sell signals are statistically significant for the
market composite and 10 sectors, the results reveal the differences on the overall buy-sell returns
for different sectors under investigation.
In short, the Sentiment-TAR trading rules, in particular, SentimentWORLD-TAR, are shown

to beat the buy-hold strategy in Malaysian composite and sector markets. This finding is as
24
expected as the Malaysian stock market is much smaller and hence the investor sentiment
(measured by three stock market index over the world) is easily exaggerated by events happening
in the large stock markets (U.S. and Japan) and other emerging stock markets. In addition, the
predictive power and returns generated by each sector are different, however, which implies that
different types of sentiments have different predictive ability for different sectors. Take for
instance, while SentimentECO, SentimentMARKET and SentimentWORLD are shown to provide
predictive ability in PRP sector, the predictability of the SentimentECO-TAR is not found in IND
sector. The finding from Sentiment-TAR trading rules is consistent with studies that undertake
sectoral predictability which also show that some sectorial returns are only weakly predictable or
even unpredictable (Narayan and Sharma, 2011; Narayan and Bannigidadmath, 2015; Phan et al.,
2018). Several studies, for instance, Baker and Wurgler (2006; 2007), have shown that in a
contemporaneous relationship, sentiment places more vulnerability on stocks that are speculative
and difficult to value and arbitrage (i.e. newer, smaller, more volatile, distressed, extreme
growth) compared to safe and easy to arbitrage stocks (i.e. regulated utilities, firm with long
earning history, stable dividend). In addition, recent research provide evidence that firms in a
different industry are reported to have different influential sentiment effect (Narayan, Narayan,
and Westerlund, 2015; Westerlund, Narayan, and Zheng, 2015; Schmeling, 2009; and Kadilli,
2015). The finding of our study adds to the literature by showing that Sentiment-TAR profits that
exist on the Malaysian stock market have a sector story, suggesting that investing in certain
sectors are likely to be relatively more profitable.
4.1.5 Summary of Sentiment-TAR and TTRs
The findings from Sentiment-TAR and TTRs can briefly be summarized as follows: (1) Overall,
the results provide supporting evidence that the sentiment index measured using SentimentWORLD
is more appropriate than the SentimentECO and SentimentMARKET. All tested SentimentWORLD-TAR
rules generate positive and significant buy-sell spread when composite and sector indices are
examined. The predictive power and returns generated by each sector are different, however. (2)
VMA rules are revealed to have considerable predictive ability in the three sector indices,
namely PLN, PRP and TEC and to some extent the remaining sectors (except IND). For
composite and sector indices, the VMA(1, 20, 0.01) rule has the highest returns implying that the
25
use of a band improve its trading returns. (3) The FMA rules generate significant performance
only for three sector indices (FIN, PLN, and PRP). (4) The average buy-sell spread in CON, FIN,
INP, PLN, PRP and TEC are positive and significant at 5% when TRB rules are considered.
Besides, unlike the Sentiment-TAR and VMA in which the best rules are similar across the
indices, the best rule is totally different for all indices when the TRB rules are considered.
4.2 Robustness test: In- and out-of-sample testing
The results presented in section 4.1 show that the tested trading rules are somehow able to
generate significant predictability. However a rule which outperform the others in one period
may not be performing equally well in another period. Here, we undertake robustness test
analysis of the results. One of the common solutions, according to Lo and MacKinlay (1990),
and Sullivan et al. (1999), is to investigate if the best rule from the in-sample estimation can also
outperform in the out of sample period by performing out of sample testing. To examine this, this
study first resamples to obtain the best three trading rules (which provide the greatest buy-sell t-
statistics) using data up to the end of 2011 and then evaluates the performance of these best three
rules for periods spanning from 2012 towards the end of the sample in December 2016. Table 8
reports the best three trading rules using Sentiment-TAR, VMA, FMA and TRB rules found in
the in-sample period and the respective performance of those rules in the out-of-sample period.
The results of FBMKLCI as shown in Panel A reveal that the returns generated by
Sentiment-TAR, in particular SentimentWORLD-TAR, is not only statistically significant in the
in-sample period, it is also shown to generate statistically significant positive predictability for
out-of-sample period. On the other hand, while all of the best three rules from the VMA, FMA
and two rules from TRB rules offer significant predictability in the in-sample period, these rules
in the out-of-sample period offer no significant predictability indicating that investors would
have not have gained any positive returns by applying these best trading rules in the in-sample
period to the out-of-sample period.
A similar pattern is observed in the sector indices. The sector indices results reported in
Panel B-K reveal that the best three performing SentimentWORLD-TAR rules in-sample offer
26
statistically significant predictability out-of-sample. For the technical trading rules, it is observed
that the best three performing VMA rules for COP, PRP and TEC, and the best performing TRB
rules for PRP, are statistically significant in the in- and out-of-sample periods. However, for the
other remaining sector indices, results revealed that the best performing VMA, FMA and TRB
rules in the in-sample period offer no predictability in the out-of-sample period.
While Table 8 evaluates the performance of out-of-sample period based on the best
performing rules in the in-sample period, this study also assesses the best three performing
Sentiment-TAR, VMA, FMA and TRB rules in the out-of-sample period and their performance
is reported in Table 9.
In brief, the out- of-sample results for market composite and sector indices concur the
earlier results in Table 8 where Sentiment-TAR (especially SentimentWORLD-TAR, and majorities
of SentimentMARKET-TAR) for both composite and sector indices (with exception of TIN) offer
significant predictability while the technical trading rule to some extent offer predictability in the
Malaysian stock market, such like significant VMA rules in COP, PRP and TEC; and TRB rules
in PRP sector. As these trading rules used are alike for in- and out- sample period, investors may
select and achieve higher returns as compare to buy-hold strategy. It is worth noting that the out-
of-sample results also reveal that at least one of the best three TRB offer positive and significant
out- of sample predictability for FIN and TEC. However, as Batten et al. (2017) highlight, given
that none of these rules are the best performing rules in the in-sample period, so investors would
have no rationale to select these rules in achieving superior returns.
The technical trading rules results presented for the in-sample and out-of-sample are
shown to be inconsistent with earlier studies in Malaysian stock market where the profitability of
the technical trading rules is supported. However, it is worth noting that these previous studies
evaluated the rules in earlier periods, for instance, Bessembinder and Chan (1995), Ratner and
Leal (1999) examine on the sample prior to year 2000, and Ahmed et al. (2000) assess the
trading rules during the periods of declining stock markets (year 1994-1999). The result that
technical analysis has become less prevalent in the out-of-sample period (i.e. recent decade), on
27
the other hand, is similar to the finding of Yu et al (2013), who suggest that the stock market has
progressively shifted towards achieving informational efficiency over time.
The observed downward trend in the predictive power of the trading rules for the stock
indices, according to Timmermann and Granger (2004), is an unavoidable ‘self-destruction’
process – a process where excess profitability will sooner or later be arbitraged away by
technical analysts. In addition, Lo (2004) in his Adaptive Markets Hypothesis, also illustrate on
how traders integrate and deploy the rules which in turn diminish the profitability of the trading
rules over time.
[Insert Tables 8 and 9]
4.3 Robustness test: The effects of data snooping on trading rules
Data snooping is another concern when studying the predictability of any technical trading rule.
To investigate the robustness of the results and to judge the statistically significant of the results,
both the White’s (2000) reality check and the Hansen’s (2005) superior predictive ability test are
adopted to check if the predictive power still exists after correcting for data snooping effect.
Table 10 presents the results of the “nominal RC”, “WRC” and “SPA” over the full
sample, the in- and out-of-sample periods. The “nominal RC” is the p-value calculated based on
the best trading rule only by using the Reality Check methodology. The “WRC” and “SPA” are
p-values computed by applying the reality check and superior predictive ability methodology to
all the trading rules considered.
The results of “nominal RC” are consistent with the analysis shown in earlier sections in
which rules that were found to generate significant predictability also generate significant
predictability according the bootstrap methodology.
By turning to the WRC and SPA, it is seen that these p-values are all statistically
significant at the 10% level for Sentiment-TAR (in particular SentimentWORLD-TAR and
SentimentMARKET-TAR) rules in composite and sector indices (with exception of TIN) when full
28
sample, in- and out-of-sample are examined, suggesting the ability of Sentiment-TAR trading
rules in yielding superior returns even after data-snooping biases are correctly accounted for.
For the standard technical trading rules, when the full sample is considered, VMA is
found to outperform the benchmark in CON, COP, PLN, PRP and TEC. Besides, FMA have a
greater predictive ability for PLN and PRP while TRB perform better than the benchmark for
PRP and TEC as the p-value of White and SPA are less than 10% of significant level, suggesting
that a number of the standard technical trading rules outperform the benchmark even after taking
the effect of data snooping. The results are quite similar when in-sample period is considered.
The evidence for the out-of-sample period is, however, mixed. While the p-values of
nominal RC is less than 10% for many of the best VMA, FMA and TRB rules across different
indices, the corresponding p-values of WRC and SPA is much larger, revealing that the decision
drawn from the nominal RC is misleading in the out-of-sample study. Indeed, after data snooping
is accounted for, the conclusion that the trading rules (both VMA and TRB) outperform the
benchmark in the out-of-sample period can be drawn only for the PRP index.
In short, this bootstrap analysis reveals that while the predictive ability of technical
trading rule is prevalent the early part of the sample even after taking the adjustments of data
snooping, the trading-rule predictability has become much weaker in the out-of-sample period.
This evidence provides support for White (2000) on the fact that data snooping has a potentially
serious bias when assessing the performance of technical analysis rules. However, one should
note that even after controlling for the data snooping effect, the results still reveal and confirm
the existence of Sentiment-TAR rules and certain technical trading rules which significantly
outperform the buy-hold alternatives.
[Insert Table 10]
4.4 Additional results
This section presents findings on the profitability of trading rules taking transaction costs into
account. In addition, as combing the trading rules generally reduces produce fewer noisy trading
29
signals as compare to a single rule (Chong and Lam, 2013), this section also undertake the
synergy of combining various trading rules.
4.4.1 The effects of transaction costs on trading rules
Transaction costs are crucial in appraising the economic significance of trading rules. A trading
rule that generates more frequent trading signals will definitely incur higher transaction costs,
and hardly generate significant profitable returns for investors. Hence, to better assess the
economic significance of trading rules, the breakeven transaction costs - costs that completely
erode the profitability of trading rules, are computed. Given that the estimated round-trip
transaction costs of trading in Malaysian stock market is 1.4% (Chen et al. 2009), if the
estimated transaction costs are higher than the breakeven transaction costs, trading based on
these rules will eat away profits.
Table 11 reports the breakeven costs for the best three rules in Sentiment-TAR, VMA,
FMA and TRB rules respectively, for full, in- and out- of sample periods. By referring to the
breakeven transaction costs of the Sentiment-TAR rules, it is shown that the breakeven costs for
each Sentiment-TAR rule are lesser than the estimated transaction costs of 1.4%, and hence the
profitability after transaction costs are unlikely in any of the stock indices under investigation.
Apart from this, the breakeven transaction costs of VMA and FMA rules in each of the sector
indices are also lower as compared to the estimated transaction cost, implying that profits netting
transaction costs from these rules are unlikely in any sample periods under investigation.
However, by turning to the TRB rules, one may observe that TRB rules yield the highest
breakeven transaction costs among all the technical rules considered. In full and in- sample
periods, the results for TRB rules show that the breakeven costs outweigh the estimated
transaction costs for at least two rules in four sectoral indices, namely INP, PLN, PRP and TEC,
implying profitability for these TRB rules. For the out-of-sample period, the PRP is the only
index with breakeven cost exceeding the estimated costs for their TRB rules, which are (200,
0.01) and (150, 0). The evidence that the transaction costs do not necessarily erode the possibility
30
of making significant profits using technical trading rules concurs the stylized fact underlined by
Menkhoff and Taylor (2007).
A comparison to the past literature on the profitable trading rules after transaction costs in
fact reveals a substantial decline in the breakeven transaction costs in the Malaysian stock
market. For instance, Bessembinder and Chan (1995) report the breakeven costs for Malaysia of
4.73% for VMA rules and 1.24% for TRB rules over the period 1977 to 1991. This study,
however, reveals the breakeven costs of 0.07% for VMA rules and 0.68% for TRB rules over the
2001 to 2016 period. While the finding from this study is contrary to Bessembinder and Chan
(1995), it is somehow consistent with the study of Ratner and Leal (1999) and Yu et al. (2013)
who also show that technical trading rules are unprofitable in composite index after netting out
the transaction costs.
[Insert Table 11]
4.4.2 The performance of combined strategy
While Sentiment-TAR and VMA provides favorable returns prior to the transaction costs, it is
quite impossible to achieve profitable strategy after taking into consideration the transaction cost,
owing to the frequent buy-sell signals. On the other hand, TRB is shown to outperform the rest
after transaction cost, mainly due to the lower trade signals. As investors tend to combine the
signals of multiple rules rather than considering the signal of one rule, it inspires the interest to
assess the synergy of combining Sentiment-TAR and traditional technical trading rules. The
proposed combined strategy aims generally in generating fewer noisy trading signals as
compared to a single rule. As shown in Table 12, it is noticed that in comparison to Table 11
where single rule is used, the combined strategy of the best performing rules generates a higher
breakeven transaction costs than when the rules are applied individually.
By reviewing the trading rule’s results on the full and in- sample period, it is observed
that the breakeven ratios for all the best TAR+TRB rules selected (expect COP and IND) are in
every case higher than the estimated costs of 1.4%. For the out-of-sample period, one can still
observe that the best rules consistently generate breakeven costs which are higher than the
31
estimated breakeven cost of 1.4% especially in the CON, FIN, PRP and TEC sectors, hence
suggesting profitability for these rules.
[Insert Table 12]
5 Conclusions
This study analyze the predictability of Sentiment-TAR and three popular technical trading rules
(VMA, FMA and TRB) in the market composite and ten sector indices of the Malaysian stock
market over the period from 2001 to 2016. Prior work in this area has mostly focus on the
technical trading rules and consider only market composite index of stock market. This study
presents a sentiment-based trading rules alterative to the technical analysis. In addition, the
predictability of trading rules on sector level, apart from the market composite index, is
conducted. To avoid over-fitting, this study performs the in- and out-of-sample tests to check if
the most successful rules in the in-sample period can be used to generate significant
predictability in the out-of-sample period. The White (2000)’s reality check and the Hansen
(2005)’s superior predictive ability test are also performed to assess if any of these trading rules
is capable of making significant returns after taking the consideration of data snooping. On top of
that, as the transaction costs in stock market are not zero and thus a crucial determining factor for
the success of trading, this study also accounts for breakeven costs in evaluating the performance
of trading rules.
The main findings from this study report that, prior to controlling for overfitting issue and
data snooping effect, and when the transaction costs are ignored, almost all of the sentiment-
TAR (in particular sentimentMARKET-TAR and sentimentWORLD-TAR) rules and several technical
trading rules are shown to have significant predictive power in the market composite and ten
sector indices of the Malaysian stock market. Interestingly, the predictive power of Sentiment-
TAR trading rules is shown to outperform technical trading rules.
In order to investigate if the best performing rules could actually be utilized by investors,
the in- and out-of-sample analysis is performed. While majorities of the best three technical
32
trading rules are shown to have predictive ability in the in-sample period, these rules offer no
predictability in the out-of-sample period. More specifically, VMA rules are revealed to have
predictive power in only five sector indices while TRB rules are shown to have significant
predictive ability in two sector indices. These results of the in- and out-of- sample analysis is in
line with the AMH, in which a downward trend in the predictive power of trading rules are
evidenced from the earlier to the later sub-sample. However, results reveal that the Sentiment-
TAR rule generates significant predictability in both the in- and out-of-sample analysis. This
finding supports importance of investor sentiment in generating superior predictive ability and
hence echoes the AMH tenet that more complicated trading rules remain profitable for longer
periods.
The bootstrap analysis performed using WRC and SPA test, reveal a sharp decline in the
number of significant technical trading rules especially in the out-of-sample period. In particular,
both the WRC and the SPA test reject the existence of economically profitable technical trading
rules in majorities of the composite and sector indices with exception of PRP.
When transaction costs are taken into account, the breakeven costs across Sentiment-
TAR and VMA rules are shown to be smaller than the estimated transaction costs for the
composite and nine sector indices, when full, in- and out-of-sampler periods are considered.
Indeed, PRP is the only index with breakeven cost exceeding the estimated costs for their TRB
rules during the out-of-sample period.
The combined strategy of Sentiment-TAR and TRB rules are evidenced to generate a
higher breakeven transaction costs than when the rules are applied individually. More
importantly, for the out-of-sample period, the breakeven cost for four sector indices (CON, FIN,
PRP, TEC) are shown to be higher than the estimated transaction cost implying the profitability
of these combined rules.
Overall, while this study observes that the Malaysian stock market has progressively
shifted towards achieving informational efficiency over time, there is evidence that certain
sectors remain profitable and some of the sectors (for instance, PRP) are relatively more
33
profitable than others. In addition, this study also provides supporting evidence that the different
sectors are influenced by investor sentiment differently, implying that sentiment is more
important for some sectors than others. Several implications can be emerged from this study.
First, future studies on stock markets should consider the sectoral heterogeneity – be it among
sectors or in comparison to the market. Besides that, owing to the volatility of specific sectors
that would impact investor perception of these sectors, future work should include sector specific
volatility into the sentiment measure or create sector specific sentiment measures. Another
direction for future research would be to explore the profitability or predictive ability of financial
markets by devising a mixture of sentiment-based and technical trading rules.
34
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Table 1
Descriptive statistics of variables.
Variables Mean Median Standard Error
IR 0.0309 0.0309 0.0001
ER 3.5497 3.6073 0.0054
MTR 1.0494 1.0015 0.0056
RSI 53.1479 53.9300 0.2238
MFI 54.2294 55.4135 0.2868
SP 0.0001 0.0000 0.0002
JP 0.0001 0.0000 0.0002
EM 0.0003 0.0008 0.0002
Table 2
Descriptive statistics and correlation matrix of daily returns for market composite and nine sector
indices.
FBMKLCI CON COP FIN IND INP PLN PRP TAS TEC TIN
Panel A: Descriptive statistics
Mean 0.0002 0.0002 0.0003 0.0003 0.0002 0.0002 0.0004 0.0001 0.0002 -0.0002 0.0002
Median 0.0005 0.0001 0.0005 0.0005 0.0004 0.0004 0.0004 0.0000 0.0004 -0.0002 0.0000
Maximum 0.0450 0.0712 0.0325 0.0655 0.0708 0.0636 0.1170 0.0621 0.0545 0.1137 0.5201
Minimum -0.0998 -0.1716 -0.0508 -0.0813 -0.1000 -0.0761 -0.1087 -0.0967 -0.1022 -0.1339 -0.4151
Std. Dev. 0.0079 0.0120 0.0060 0.0091 0.0077 0.0082 0.0104 0.0103 0.0084 0.0144 0.0275
Skewness -0.9289 -0.9651 -0.7339 -0.4758 -0.6340 -0.9526 -0.3453 -0.5871 -0.9249 0.0601 1.9526
Kurtosis 14.7588 19.2018 8.7932 10.1299 14.2479 11.9072 18.0179 11.8439 15.1106 10.5835 68.4671
AR(1) 0.151 0.103 0.102 0.162 0.080 0.113 0.157 0.176 0.128 0.144 0.122
Ljung-Box
98.774 50.251 51.056 108.44 27.18 69.549 113.52 170.92 77.708 93.661 101.26
Q(5)
Panel B: Correlation matrix

FBMKLCI CON COP FIN IN INP PLN PRP TAS TEC TIN
FBMKLCI 1.0000 0.7551 0.7313 0.8951 0.8119 0.7792 0.7011 0.7169 0.9444 0.5389 0.2269
CON 0.7551 1.0000 0.6172 0.7030 0.6125 0.7130 0.5598 0.7499 0.7266 0.5293 0.2518
COP 0.7313 0.6172 1.0000 0.6426 0.7049 0.6512 0.5453 0.6346 0.6697 0.4861 0.2354
FIN 0.8951 0.7030 0.6426 1.0000 0.6573 0.7009 0.5718 0.6950 0.7950 0.5208 0.2244
IN 0.8119 0.6125 0.7049 0.6573 1.0000 0.7026 0.5879 0.5847 0.7908 0.4571 0.1885
INP 0.7792 0.7130 0.6512 0.7009 0.7026 1.0000 0.5716 0.7423 0.7330 0.5660 0.2429
PLN 0.7011 0.5598 0.5453 0.5718 0.5879 0.5716 1.0000 0.5466 0.6088 0.3758 0.1973
PRP 0.7169 0.7499 0.6346 0.6950 0.5847 0.7423 0.5466 1.0000 0.7175 0.5911 0.2770
TAS 0.9444 0.7266 0.6697 0.7950 0.7908 0.7330 0.6088 0.7175 1.0000 0.5471 0.2231
TEC 0.5389 0.5293 0.4861 0.5208 0.4571 0.5660 0.3758 0.5911 0.5471 1.0000 0.2017
TIN 0.2269 0.2518 0.2354 0.2244 0.1885 0.2429 0.1973 0.2770 0.2231 0.2017 1.0000
38
Table 3
Test results of VMA rules from 2001 to 2016 for FBMKLCI and sector indices.
Buy t-stat Sell t-stat Buy- t-stat Buy > Sell SDB SDS Buy t-stat Sell t-stat Buy- t-stat Buy Sell SDB SDS
Sell 0 >0 Sell >0 >0
Panel A: FBMKLCI Panel B: CON
VMA(1,20,0) 0.068** (2.243) -0.042** (-2.870) 0.110** (4.428) 0.549 0.517 0.621 0.889 0.078** (2.011) -0.063** (-2.189) 0.141** (3.637) 0.523 0.488 1.007 1.335
VMA(2,20,0) 0.062* (1.909) -0.033** (-2.453) 0.094** (3.778) 0.547 0.519 0.626 0.886 0.082** (2.135) -0.069** (-2.342) 0.150** (3.877) 0.526 0.484 1.002 1.340
VMA(5,20,0) 0.045 (1.101) -0.009 (-1.424) 0.055** (2.186) 0.537 0.534 0.644 0.870 0.063 (1.577) -0.048* (-1.744) 0.112** (2.876) 0.527 0.483 1.035 1.315
VMA(1,50,0) 0.051 (1.407) -0.022* (-1.927) 0.073** (2.887) 0.542 0.527 0.633 0.892 0.072* (1.842) -0.062** (-2.122) 0.133** (3.433) 0.528 0.480 1.041 1.317
VMA(2,50,0) 0.048 (1.275) -0.018* (-1.755) 0.066** (2.624) 0.544 0.523 0.641 0.884 0.053 (1.273) -0.039 (-1.472) 0.092** (2.377) 0.521 0.488 1.039 1.322
VMA(5,50,0) 0.047 (1.197) -0.015* (-1.656) 0.062** (2.471) 0.544 0.522 0.645 0.881 0.064 (1.607) -0.054* (-1.878) 0.118** (3.018) 0.524 0.484 1.070 1.291
VMA(1,150,0) 0.044 (1.086) -0.016 (-1.624) 0.060** (2.348) 0.549 0.512 0.643 0.900 0.047 (1.089) -0.034 (-1.304) 0.081** (2.072) 0.519 0.490 1.076 1.291
VMA(2,150,0) 0.045 (1.122) -0.017* (-1.675) 0.062** (2.423) 0.551 0.508 0.641 0.902 0.047 (1.079) -0.034 (-1.291) 0.080** (2.053) 0.522 0.487 1.072 1.295
VMA(5,150,0) 0.039 (0.830) -0.007 (-1.244) 0.046* (1.797) 0.550 0.510 0.650 0.892 0.040 (0.892) -0.026 (-1.075) 0.066* (1.703) 0.521 0.487 1.099 1.266
VMA(1,200,0) 0.040 (0.898) -0.014 (-1.502) 0.055** (2.080) 0.548 0.508 0.650 0.915 0.054 (1.328) -0.045 (-1.618) 0.100** (2.552) 0.528 0.478 1.101 1.264
VMA(2,200,0) 0.038 (0.798) -0.010 (-1.339) 0.049* (1.852) 0.547 0.511 0.653 0.912 0.053 (1.276) -0.043 (-1.556) 0.096** (2.452) 0.529 0.477 1.104 1.260
VMA(5,200,0) 0.037 (0.706) -0.006 (-1.177) 0.043 (1.632) 0.549 0.508 0.661 0.899 0.053 (1.286) -0.044 (-1.578) 0.097** (2.480) 0.527 0.479 1.117 1.246
VMA(1,20,0.01) 0.087** (2.575) -0.067** (-3.172) 0.154** (4.597) 0.543 0.509 0.684 1.048 0.105** (2.512) -0.116** (-3.224) 0.222** (4.706) 0.538 0.471 1.062 1.523
VMA(2,20,0.01) 0.072* (1.942) -0.055** (-2.704) 0.127** (3.718) 0.534 0.515 0.692 1.058 0.094** (2.172) -0.099** (-2.761) 0.193** (4.031) 0.537 0.476 1.066 1.519
VMA(5,20,0.01) 0.035 (0.440) -0.030* (-1.754) 0.065* (1.792) 0.514 0.520 0.704 1.096 0.077* (1.674) -0.062* (-1.788) 0.139** (2.796) 0.525 0.481 1.093 1.516
VMA(1,50,0.01) 0.058 (1.598) -0.035** (-2.221) 0.093** (3.172) 0.546 0.526 0.645 0.963 0.072* (1.722) -0.075** (-2.343) 0.147** (3.425) 0.525 0.476 1.085 1.373
VMA(2,50,0.01) 0.057 (1.556) -0.031** (-2.061) 0.088** (2.994) 0.544 0.529 0.643 0.967 0.059 (1.372) -0.075** (-2.327) 0.134** (3.125) 0.522 0.473 1.083 1.378
VMA(5,50,0.01) 0.043 (0.909) -0.015 (-1.435) 0.058* (1.950) 0.542 0.529 0.650 0.971 0.057 (1.302) -0.068** (-2.116) 0.125** (2.879) 0.525 0.479 1.104 1.360
VMA(1,150,0.01) 0.047 (1.198) -0.015 (-1.484) 0.063** (2.240) 0.552 0.508 0.652 0.956 0.056 (1.327) -0.053* (-1.784) 0.109** (2.654) 0.520 0.480 1.089 1.326
VMA(2,150,0.01) 0.046 (1.140) -0.014 (-1.421) 0.060** (2.140) 0.551 0.509 0.652 0.956 0.052 (1.212) -0.039 (-1.381) 0.091** (2.204) 0.522 0.479 1.093 1.311
VMA(5,150,0.01) 0.044 (1.047) -0.005 (-1.069) 0.049* (1.744) 0.550 0.506 0.656 0.949 0.040 (0.831) -0.040 (-1.412) 0.080* (1.922) 0.518 0.479 1.115 1.301
VMA(1,200,0.01) 0.043 (1.027) -0.033** (-2.071) 0.076** (2.664) 0.550 0.495 0.658 0.969 0.055 (1.326) -0.042 (-1.469) 0.097** (2.386) 0.530 0.477 1.106 1.301
VMA(2,200,0.01) 0.041 (0.897) -0.028* (-1.879) 0.069** (2.393) 0.549 0.499 0.657 0.971 0.055 (1.337) -0.043 (-1.498) 0.098** (2.420) 0.529 0.479 1.113 1.294
VMA(5,200,0.01) 0.036 (0.667) -0.021 (-1.641) 0.058** (2.007) 0.547 0.497 0.659 0.963 0.053 (1.252) -0.041 (-1.452) 0.094** (2.311) 0.527 0.480 1.128 1.271
Average 0.049 (1.371) -0.023 (-1.529) 0.072** (2.311) 0.545 0.514 0.653 0.941 0.062 (1.582) -0.055* (-1.677) 0.116** (2.728) 0.526 0.481 1.079 1.334
Panel C: COP Panel D: FIN
VMA(1,20,0) 0.071** (2.336) -0.026** (-3.210) 0.096** (4.803) 0.558 0.511 0.527 0.679 0.072* (1.941) -0.037** (-2.469) 0.110**
(3.819) 0.541 0.517 0.749 0.990
VMA(2,20,0) 0.065** (1.987) -0.017** (-2.753) 0.082** (4.106) 0.553 0.518 0.532 0.676 0.059 (1.354) -0.018* (-1.728) 0.077** (2.669) 0.533 0.528 0.757 0.983
VMA(5,20,0) 0.055 (1.339) -0.001* (-1.852) 0.055** (2.764) 0.545 0.532 0.534 0.674 0.054 (1.170) -0.012 (-1.483) 0.066**
(2.298) 0.535 0.526 0.755 0.985
VMA(1,50,0) 0.050 (1.015) 0.005 (-1.501) 0.044** (2.180) 0.540 0.539 0.544 0.669 0.065 (1.644) -0.031** (-2.180) 0.096** (3.312) 0.538 0.521 0.755 0.992
VMA(2,50,0) 0.053 (1.220) -0.001* (-1.817) 0.054** (2.631) 0.544 0.531 0.541 0.673 0.062 (1.506) -0.026** (-2.004) 0.088** (3.040) 0.540 0.518 0.753 0.996
VMA(5,50,0) 0.044 (0.690) 0.015 (-1.012) 0.030 (1.473) 0.541 0.538 0.560 0.645 0.052 (1.079) -0.011 (-1.424) 0.063** (2.168) 0.532 0.530 0.768 0.977
VMA(1,150,0) 0.039 (0.373) 0.020 (-0.667) 0.019 (0.901) 0.544 0.528 0.574 0.633 0.055 (1.234) -0.019* (-1.714) 0.074** (2.554) 0.543 0.512 0.763 0.992
VMA(2,150,0) 0.037 (0.223) 0.025 (-0.401) 0.012 (0.540) 0.543 0.531 0.577 0.627 0.051 (1.066) -0.013 (-1.476) 0.064** (2.201) 0.540 0.517 0.763 0.993
VMA(5,150,0) 0.037 (0.242) 0.025 (-0.438) 0.013 (0.590) 0.545 0.527 0.584 0.612 0.049 (0.938) -0.008 (-1.311) 0.057* (1.948) 0.539 0.518 0.766 0.990
VMA(1,200,0) 0.040 (0.416) 0.016 (-0.816) 0.024 (1.069) 0.545 0.524 0.578 0.629 0.050 (1.030) -0.014 (-1.515) 0.065** (2.205) 0.544 0.508 0.769 0.996
VMA(2,200,0) 0.039 (0.379) 0.018 (-0.745) 0.022 (0.974) 0.545 0.525 0.581 0.621 0.045 (0.769) -0.004 (-1.132) 0.048* (1.646) 0.542 0.512 0.770 0.995
VMA(5,200,0) 0.038 (0.301) 0.021 (-0.588) 0.017 (0.772) 0.546 0.523 0.587 0.605 0.047 (0.889) -0.009 (-1.310) 0.056* (1.905) 0.545 0.506 0.775 0.988
VMA(1,20,0.01) 0.084** (2.553) -0.036** (-2.827) 0.120** (4.226) 0.562 0.514 0.552 0.812 0.078* (1.817) -0.069** (-3.027) 0.147** (3.945) 0.528 0.513 0.813 1.139
VMA(2,20,0.01) 0.078** (2.227) -0.036** (-2.749) 0.114** (3.913) 0.555 0.502 0.553 0.820 0.079* (1.825) -0.044** (-2.203) 0.123** (3.231) 0.528 0.528 0.824 1.147
VMA(5,20,0.01) 0.059 (1.191) 0.005 (-1.073) 0.054* (1.725) 0.543 0.521 0.579 0.795 0.039 (0.389) -0.020 (-1.402) 0.059 (1.460) 0.503 0.540 0.852 1.194
VMA(1,50,0.01) 0.067* (1.926) -0.010* (-1.931) 0.077** (3.089) 0.548 0.522 0.563 0.737 0.080** (2.125) -0.036** (-2.112) 0.116** (3.476) 0.540 0.529 0.780 1.089
VMA(2,50,0.01) 0.063* (1.674) -0.003 (-1.628) 0.066** (2.633) 0.546 0.524 0.566 0.727 0.075* (1.915) -0.026* (-1.762) 0.100** (3.004) 0.537 0.537 0.783 1.078
VMA(5,50,0.01) 0.053 (1.088) 0.007 (-1.166) 0.046* (1.805) 0.545 0.540 0.582 0.719 0.072* (1.802) -0.008 (-1.170) 0.080** (2.380) 0.535 0.544 0.785 1.073
VMA(1,150,0.01) 0.044 (0.647) 0.009 (-1.069) 0.035 (1.428) 0.552 0.527 0.588 0.675 0.061 (1.406) -0.034** (-2.101) 0.095** (2.968) 0.541 0.500 0.786 1.063
VMA(2,150,0.01) 0.044 (0.632) 0.019 (-0.609) 0.024 (0.983) 0.546 0.530 0.586 0.664 0.057 (1.266) -0.025* (-1.799) 0.083** (2.586) 0.540 0.503 0.790 1.062
VMA(5,150,0.01) 0.040 (0.398) 0.022 (-0.484) 0.018 (0.713) 0.550 0.531 0.595 0.644 0.056 (1.221) -0.020 (-1.609) 0.076** (2.377) 0.541 0.507 0.795 1.058
VMA(1,200,0.01) 0.043 (0.579) 0.013 (-0.860) 0.029 (1.186) 0.549 0.519 0.587 0.646 0.048 (0.897) -0.021 (-1.633) 0.069** (2.171) 0.545 0.503 0.775 1.053
VMA(2,200,0.01) 0.042 (0.563) 0.020 (-0.593) 0.023 (0.920) 0.549 0.523 0.587 0.642 0.047 (0.869) -0.013 (-1.371) 0.061* (1.907) 0.544 0.508 0.774 1.050
VMA(5,200,0.01) 0.039 (0.334) 0.019 (-0.630) 0.020 (0.811) 0.549 0.525 0.593 0.628 0.047 (0.872) -0.007 (-1.176) 0.055* (1.729) 0.544 0.511 0.780 1.034
Average 0.051 (1.106) 0.005 (-1.188) 0.046 (1.826) 0.547 0.525 0.569 0.677 0.058 (1.396) -0.022 (-1.495) 0.080** (2.338) 0.537 0.518 0.778 1.038
Table 3 (continued)
Buy t-stat Sell t-stat Buy- t-stat Buy Sell SDB SDS Buy t-stat Sell t-stat Buy- t-stat Buy > Sell SDB SDS
39
Sell >0 >0 Sell 0 >0
Panel E: IND Panel F: INP
* ** ** ** **
VMA(1,20,0) 0.050 (1.336) -0.015 (-1.666) 0.065 (2.600) 0.529 0.513 0.664 0.861 0.071 (2.305) -0.043 (-2.670) 0.113 (4.308) 0.549 0.505 0.685 0.909
VMA(2,20,0) 0.042 (0.946) -0.004 (-1.180) 0.046* (1.842) 0.525 0.518 0.667 0.858 0.070** (2.247) -0.041** (-2.612) 0.111** (4.208) 0.553 0.500 0.686 0.909
VMA(5,20,0) 0.037 (0.701) 0.003 (-0.885) 0.035 (1.373) 0.526 0.517 0.653 0.876 0.056 (1.614) -0.024* (-1.870) 0.079** (3.018) 0.547 0.507 0.689 0.908
VMA(1,50,0) 0.042 (0.937) -0.007 (-1.277) 0.049* (1.917) 0.522 0.522 0.657 0.884 0.052 (1.495) -0.025* (-1.879) 0.078** (2.920) 0.547 0.504 0.710 0.901
VMA(2,50,0) 0.036 (0.638) 0.003 (-0.870) 0.033 (1.307) 0.520 0.527 0.660 0.881 0.050 (1.394) -0.023* (-1.781) 0.073** (2.749) 0.547 0.505 0.708 0.903
VMA(5,50,0) 0.028 (0.223) 0.016 ( -0.303) 0.012 (0.456) 0.516 0.533 0.661 0.881 0.047 (1.255) -0.018 (-1.603) 0.066** (2.475) 0.545 0.508 0.716 0.895
VMA(1,150,0) 0.026 (0.136) 0.018 (-0.201) 0.008 (0.292) 0.520 0.527 0.677 0.873 0.043 (1.089) -0.017 (-1.514) 0.061** (2.254) 0.542 0.509 0.730 0.889
VMA(2,150,0) 0.026 (0.153) 0.018 (-0.226) 0.009 (0.329) 0.519 0.528 0.680 0.869 0.039 (0.877) -0.010 (-1.221) 0.049* (1.817) 0.541 0.510 0.741 0.874
VMA(5,150,0) 0.020 (-0.171) 0.029 (0.251) -0.009 (-0.365) 0.518 0.530 0.683 0.863 0.033 (0.586) 0.000 (-0.807) 0.033 (1.206) 0.537 0.517 0.750 0.861
VMA(1,200,0) 0.020 (-0.132) 0.028 (0.214) -0.008 (-0.299) 0.521 0.524 0.708 0.837 0.042 (1.046) -0.018 (-1.522) 0.061** (2.224) 0.545 0.502 0.743 0.877
VMA(2,200,0) 0.017 (-0.313) 0.036 (0.507) -0.019 (-0.710) 0.520 0.527 0.709 0.837 0.043 (1.081) -0.020 (-1.582) 0.063** (2.306) 0.546 0.500 0.751 0.865
VMA(5,200,0) 0.021 (-0.095) 0.027 (0.152) -0.006 (-0.214) 0.522 0.523 0.715 0.825 0.036 (0.747) -0.007 (-1.095) 0.044 (1.595) 0.544 0.504 0.767 0.840
VMA(1,20,0.01) 0.049 (1.034) -0.019 (-1.433) 0.068** (1.979) 0.519 0.512 0.687 1.007 0.105** (3.268) -0.075** (-3.246) 0.180** (5.213) 0.573 0.485 0.733 1.065
VMA(2,20,0.01) 0.042 (0.726) 0.007 (-0.551) 0.035 (0.995) 0.522 0.527 0.703 1.017 0.100** (3.035) -0.074** (-3.166) 0.173** (4.956) 0.571 0.486 0.743 1.081
VMA(5,20,0.01) 0.047 (0.894) -0.004 (-0.835) 0.051 (1.338) 0.542 0.514 0.700 1.052 0.090** (2.559) -0.056** (-2.443) 0.146** (3.933) 0.559 0.490 0.762 1.077
VMA(1,50,0.01) 0.038 (0.686) 0.003 (-0.756) 0.035 (1.182) 0.518 0.522 0.654 0.952 0.062* (1.789) -0.045** (-2.369) 0.106** (3.458) 0.546 0.494 0.740 0.986
VMA(2,50,0.01) 0.033 (0.448) -0.010 (-1.228) 0.043 (1.427) 0.517 0.515 0.656 0.958 0.056 (1.517) -0.040** (-2.202) 0.096** (3.099) 0.544 0.493 0.739 0.997
VMA(5,50,0.01) 0.037 (0.643) -0.007 (-1.113) 0.045 (1.462) 0.522 0.520 0.660 0.955 0.046 (1.111) -0.030* (-1.812) 0.077** (2.439) 0.540 0.498 0.748 0.984
VMA(1,150,0.01) 0.033 (0.485) 0.041 (0.687) -0.008 (-0.284) 0.517 0.535 0.685 0.868 0.050 (1.369) -0.024* (-1.661) 0.075** (2.546) 0.546 0.501 0.740 0.935
VMA(2,150,0.01) 0.026 (0.142) 0.045 (0.830) -0.019 (-0.662) 0.516 0.539 0.682 0.867 0.044 (1.083) -0.016 (-1.349) 0.060** (2.047) 0.546 0.501 0.744 0.914
VMA(5,150,0.01) 0.025 (0.084) 0.054 (1.172) -0.029 (-1.019) 0.515 0.539 0.684 0.859 0.041 (0.938) -0.010 (-1.120) 0.051* (1.726) 0.542 0.500 0.758 0.900
VMA(1,200,0.01) 0.024 (0.054) 0.044 (0.754) -0.020 (-0.671) 0.518 0.537 0.685 0.885 0.042 (0.997) -0.021 (-1.543) 0.063** (2.171) 0.543 0.492 0.758 0.900
VMA(2,200,0.01) 0.021 (-0.101) 0.037 (0.493) -0.016 (-0.533) 0.519 0.532 0.688 0.883 0.039 (0.856) -0.017 (-1.413) 0.056* (1.947) 0.540 0.495 0.759 0.896
VMA(5,200,0.01) 0.018 (-0.245) 0.046 (0.828) -0.028 (-0.946) 0.519 0.534 0.683 0.869 0.039 (0.850) -0.004 (-0.908) 0.042 (1.476) 0.541 0.501 0.775 0.865
Average 0.032 (0.440) 0.016 (-0.236) 0.015 (0.508) 0.567 0.526 0.679 0.897 0.054 (1.598) -0.027 (-1.640) 0.081** (2.641) 0.547 0.500 0.737 0.926
Panel G: PLN Panel H: PRP
VMA(1,20,0) 0.118** (2.684) -0.063** (-3.327) 0.181** (5.206) 0.548 0.491 0.921 1.177 0.145** (4.536) -0.110** (-4.446) 0.256** (7.779) 0.556 0.445 0.948 1.029
VMA(2,20,0) 0.117** (2.672) -0.063** (-3.332) 0.181** (5.200) 0.551 0.487 0.933 1.165 0.144** (4.479) -0.109** (-4.400) 0.253** (7.690) 0.556 0.444 0.951 1.026
VMA(5,20,0) 0.098** (1.999) -0.036** (-2.465) 0.134** (3.866) 0.545 0.496 0.940 1.159 0.111** (3.354) -0.079** (-3.324) 0.190** (5.784) 0.547 0.453 0.984 1.002
VMA(1,50,0) 0.086 (1.587) -0.030** (-2.201) 0.116** (3.281) 0.537 0.504 0.946 1.175 0.096** (2.847) -0.069** (-2.956) 0.165** (5.025) 0.538 0.460 1.006 0.982
VMA(2,50,0) 0.089* (1.692) -0.035** (-2.359) 0.124** (3.508) 0.542 0.495 0.941 1.182 0.091** (2.665) -0.064** (-2.770) 0.155** (4.707) 0.537 0.460 1.016 0.973
VMA(5,50,0) 0.084 (1.515) -0.027** (-2.116) 0.111** (3.145) 0.539 0.500 0.938 1.187 0.079** (2.253) -0.053** (-2.379) 0.132** (4.012) 0.531 0.465 1.009 0.981
VMA(1,150,0) 0.074 (1.185) -0.022* (-1.872) 0.096** (2.649) 0.537 0.500 0.954 1.191 0.078** (2.242) -0.055** (-2.428) 0.133** (4.044) 0.536 0.459 1.043 0.940
VMA(2,150,0) 0.075 (1.220) -0.024* (-1.918) 0.099** (2.718) 0.540 0.494 0.958 1.183 0.078** (2.240) -0.054** (-2.409) 0.132** (4.026) 0.536 0.459 1.048 0.935
VMA(5,150,0) 0.073 (1.160) -0.021* (-1.825) 0.094** (2.586) 0.538 0.496 0.958 1.184 0.071** (1.978) -0.046** (-2.121) 0.117** (3.550) 0.532 0.464 1.053 0.929
VMA(1,200,0) 0.071 (1.088) -0.024* (-1.853) 0.095** (2.547) 0.534 0.501 0.953 1.212 0.074** (2.135) -0.057** (-2.442) 0.131** (3.965) 0.534 0.458 1.055 0.919
VMA(2,200,0) 0.069 (1.024) -0.019* (-1.733) 0.088** (2.388) 0.535 0.501 0.956 1.205 0.074** (2.138) -0.057** (-2.456) 0.131** (3.980) 0.534 0.457 1.054 0.920
VMA(5,200,0) 0.065 (0.851) -0.009 (-1.452) 0.074** (1.995) 0.533 0.504 0.955 1.209 0.070** (1.986) -0.052** (-2.286) 0.122** (3.700) 0.532 0.460 1.057 0.915
VMA(1,20,0.01) 0.137** (2.925) -0.084** (-3.283) 0.221** (5.019) 0.553 0.497 1.013 1.380 0.189** (5.388) -0.129** (-4.416) 0.318** (8.034) 0.572 0.445 1.039 1.154
VMA(2,20,0.01) 0.126** (2.567) -0.067** (-2.826) 0.193** (4.347) 0.548 0.506 1.026 1.381 0.178** (5.013) -0.118** (-4.026) 0.296** (7.381) 0.565 0.450 1.045 1.163
VMA(5,20,0.01) 0.111** (2.043) -0.055** (-2.374) 0.166** (3.522) 0.542 0.504 1.050 1.421 0.131** (3.469) -0.090** (-3.110) 0.221** (5.333) 0.543 0.461 1.103 1.140
VMA(1,50,0.01) 0.106** (2.175) -0.060** (-2.782) 0.165** (4.125) 0.542 0.489 0.969 1.307 0.125** (3.638) -0.082** (-3.141) 0.207** (5.681) 0.549 0.448 1.061 1.041
VMA(2,50,0.01) 0.097* (1.875) -0.067** (-2.959) 0.164** (4.063) 0.541 0.485 0.984 1.309 0.115** (3.304) -0.077** (-2.967) 0.192** (5.251) 0.545 0.453 1.057 1.029
VMA(5,50,0.01) 0.103** (2.063) -0.046** (-2.397) 0.149** (3.683) 0.545 0.494 0.985 1.316 0.101** (2.825) -0.076** (-2.930) 0.177** (4.818) 0.541 0.451 1.085 1.033
VMA(1,150,0.01) 0.079 (1.327) -0.032** (-2.020) 0.111** (2.841) 0.539 0.496 0.966 1.259 0.088** (2.528) -0.063** (-2.594) 0.151** (4.363) 0.535 0.457 1.069 0.960
VMA(2,150,0.01) 0.076 (1.226) -0.031** (-2.001) 0.107** (2.750) 0.538 0.496 0.970 1.253 0.078** (2.181) -0.064** (-2.628) 0.142** (4.100) 0.535 0.457 1.071 0.956
VMA(5,150,0.01) 0.077 (1.275) -0.028* (-1.912) 0.105** (2.705) 0.537 0.494 0.974 1.247 0.077** (2.126) -0.069** (-2.797) 0.146** (4.196) 0.533 0.454 1.086 0.934
VMA(1,200,0.01) 0.078 (1.312) -0.041** (-2.183) 0.118** (2.968) 0.541 0.489 0.972 1.297 0.078** (2.236) -0.060** (-2.474) 0.138** (4.026) 0.534 0.458 1.073 0.936
VMA(2,200,0.01) 0.077 (1.271) -0.037** (-2.087) 0.114** (2.850) 0.541 0.494 0.972 1.297 0.075** (2.129) -0.056** (-2.363) 0.132** (3.841) 0.534 0.458 1.079 0.935
VMA(5,200,0.01) 0.075 (1.209) -0.024* (-1.731) 0.099** (2.467) 0.540 0.499 0.973 1.291 0.073** (2.038) -0.061** (-2.493) 0.133** (3.880) 0.535 0.453 1.077 0.934
Average 0.090* (1.786) -0.039** (-1.999) 0.129** (3.058) 0.541 0496 0.967 1.249 0.101** (2.869) -0.073** (-2.970) 0.174** (4.953) 0.541 0.455 1.045 0.990
Table 3 (continued)
Buy t-stat Sell t-stat Buy- t-stat Buy Sell SDB SDS Buy t-stat Sell t-stat Buy- t-stat Buy Sell > SDB SDS
Sell >0 >0 Sell >0 0
Panel I: TAS Panel J: TEC
VMA(1,20,0) 0.062** (2.025) -0.039** (-2.551) 0.102** (3.964) 0.539 0.517 0.656 0.899 0.098** (3.250) -0.137** (-3.012) 0.235** (5.423) 0.519 0.438 1.279 1.336
40
VMA(2,20,0) 0.051 (1.490) -0.024* (-1.882) 0.075** (2.921) 0.536 0.520 0.656 0.900 0.097** (3.219) -0.135** (-2.959) 0.232** (5.350) 0.520 0.438 1.280 1.335
VMA(5,20,0) 0.045 (1.194) -0.015 (-1.493) 0.060** (2.327) 0.534 0.524 0.670 0.886 0.070** (2.512) -0.114** (-2.373) 0.183** (4.229) 0.509 0.447 1.277 1.340
VMA(1,50,0) 0.054 (1.643) -0.035** (-2.284) 0.089** (3.403) 0.541 0.511 0.660 0.915 0.071** (2.488) -0.105** (-2.172) 0.176** (4.035) 0.509 0.449 1.324 1.302
VMA(2,50,0) 0.049 (1.432) -0.028** (-1.985) 0.077** (2.961) 0.540 0.513 0.660 0.914 0.060** (2.230) -0.097* (-1.958) 0.158** (3.625) 0.509 0.450 1.315 1.310
VMA(5,50,0) 0.041 (0.997) -0.014 (-1.408) 0.054** (2.085) 0.536 0.518 0.667 0.910 0.052** (2.012) -0.091* (-1.772) 0.143** (3.276) 0.501 0.456 1.308 1.317
VMA(1,150,0) 0.032 (0.600) -0.004 (-0.958) 0.036 (1.352) 0.536 0.517 0.676 0.923 0.067** (2.394) -0.102** (-2.081) 0.169** (3.875) 0.514 0.446 1.320 1.306
VMA(2,150,0) 0.031 (0.531) -0.001 (-0.858) 0.032 (1.206) 0.534 0.520 0.677 0.923 0.067** (2.396) -0.102** (-2.081) 0.169** (3.876) 0.514 0.446 1.325 1.302
VMA(5,150,0) 0.025 (0.256) 0.009 (-0.431) 0.016 (0.597) 0.532 0.525 0.683 0.915 0.061** (2.234) -0.097* (-1.943) 0.158** (3.616) 0.514 0.446 1.321 1.306
VMA(1,200,0) 0.028 (0.398) 0.002 (-0.693) 0.026 (0.949) 0.533 0.521 0.685 0.925 0.037 (1.640) -0.080 (-1.463) 0.117** (2.686) 0.507 0.451 1.307 1.319
VMA(2,200,0) 0.032 (0.588) -0.006 (-1.010) 0.038 (1.387) 0.535 0.518 0.686 0.923 0.027 (1.373) -0.071 (-1.236) 0.098** (2.258) 0.504 0.453 1.316 1.312
VMA(5,200,0) 0.029 (0.444) 0.000 (-0.774) 0.029 (1.058) 0.534 0.520 0.695 0.908 0.019 (1.163) -0.065 (-1.051) 0.083* (1.916) 0.502 0.455 1.339 1.294
VMA(1,20,0.01) 0.087** (2.610) -0.072** (-3.171) 0.159** (4.627) 0.537 0.512 0.719 1.073 0.131** (3.675) -0.184** (-3.930) 0.314** (6.297) 0.521 0.431 1.383 1.411
VMA(2,20,0.01) 0.072** (1.983) -0.060** (-2.720) 0.132** (3.765) 0.531 0.513 0.731 1.083 0.115** (3.279) -0.163** (-3.400) 0.277** (5.524) 0.518 0.442 1.386 1.403
VMA(5,20,0.01) 0.022 (0.074) -0.015 (-1.146) 0.038 (1.007) 0.498 0.527 0.736 1.096 0.072** (2.248) -0.144** (-2.870) 0.216** (4.190) 0.505 0.447 1.355 1.411
VMA(1,50,0.01) 0.042 (0.989) -0.039** (-2.170) 0.081** (2.675) 0.532 0.509 0.678 1.003 0.079** (2.556) -0.124** (-2.590) 0.204** (4.335) 0.513 0.444 1.374 1.341
VMA(2,50,0.01) 0.045 (1.101) -0.028* (-1.744) 0.072** (2.374) 0.533 0.515 0.681 0.996 0.070** (2.321) -0.121** (-2.503) 0.191** (4.059) 0.509 0.442 1.375 1.346
VMA(5,50,0.01) 0.033 (0.576) -0.016 (-1.310) 0.049 (1.594) 0.530 0.517 0.694 0.993 0.076** (2.457) -0.101* (-1.942) 0.177** (3.714) 0.513 0.451 1.358 1.355
VMA(1,150,0.01) 0.032 (0.545) -0.016 (-1.320) 0.048 (1.613) 0.535 0.516 0.686 0.990 0.071** (2.454) -0.107** (-2.198) 0.178** (3.993) 0.516 0.444 1.309 1.317
VMA(2,150,0.01) 0.032 (0.571) -0.001 (-0.768) 0.033 (1.117) 0.535 0.521 0.685 0.975 0.072** (2.465) -0.103** (-2.084) 0.175** (3.909) 0.516 0.444 1.317 1.314
VMA(5,150,0.01) 0.028 (0.383) 0.012 (-0.280) 0.016 (0.531) 0.536 0.524 0.694 0.972 0.067** (2.347) -0.103** (-2.090) 0.170** (3.810) 0.519 0.441 1.334 1.320
VMA(1,200,0.01) 0.036 (0.765) -0.015 (-1.235) 0.051* (1.684) 0.535 0.512 0.702 0.993 0.047* (1.848) -0.080 (-1.437) 0.127** (2.822) 0.510 0.447 1.334 1.328
VMA(2,200,0.01) 0.032 (0.588) -0.003 (-0.806) 0.035 (1.160) 0.534 0.515 0.702 0.986 0.036 (1.555) -0.080 (-1.4390 0.115** (2.562) 0.507 0.449 1.346 1.322
VMA(5,200,0.01) 0.030 (0.489) -0.004 (-0.852) 0.034 (1.136) 0.532 0.510 0.710 0.973 0.033 (1.480) -0.075 (-1.304) 0.107** (2.384) 0.509 0.449 1.374 1.307
Average 0.040 (1.031) -0.017 (-1.193) 0.058* (1.782) 0.533 0.517 0.687 0.961 0.066** (2.309) -0.107** (-2.166) 0.174** (3.813) 0.511 0.446 1.332 1.331
Panel K: TIN
VMA(1,20,0) -0.120 (-1.700) 0.122 (1.307) -0.242 (-2.595) 0.311 0.331 3.103 2.434
VMA(2,20,0) -0.062 (-1.000) 0.075 (0.691) -0.136 (-1.461) 0.323 0.321 3.086 2.450
VMA(5,20,0) 0.019 (-0.016) 0.006 (-0.187) 0.013 (0.142) 0.337 0.310 3.365 2.126
VMA(1,50,0) -0.065 (-1.034) 0.075 (0.707) -0.140 (-1.507) 0.316 0.321 3.348 2.125
VMA(2,50,0) -0.046 (-0.809) 0.060 (0.504) -0.106 (-1.138) 0.321 0.318 3.337 2.145
VMA(5,50,0) -0.005 (-0.311) 0.025 (0.062) -0.031 (-0.329) 0.327 0.312 3.370 2.110
VMA(1,150,0) 0.024 (0.037) 0.018 (-0.035) 0.006 (0.062) 0.335 0.290 3.397 2.047
VMA(2,150,0) 0.048 (0.337) -0.004 (-0.318) 0.052 (0.567) 0.337 0.287 3.382 2.065
VMA(5,150,0) 0.072 (0.642) -0.026 (-0.598) 0.098 (1.074) 0.340 0.285 3.378 2.084
VMA(1,200,0) 0.039 (0.228) 0.005 (-0.203) 0.034 (0.373) 0.352 0.277 3.406 2.103
VMA(2,200,0) 0.046 (0.313) -0.001 (-0.278) 0.047 (0.512) 0.355 0.275 3.403 2.108
VMA(5,200,0) 0.061 (0.496) -0.013 (-0.436) 0.074 (0.807) 0.357 0.274 3.411 2.107
VMA(1,20,0.01) -0.123 (-1.562) 0.123 (1.198) -0.246 (-2.285) 0.332 0.340 3.446 2.626
VMA(2,20,0.01) -0.083 (-1.114) 0.077 (0.650) -0.160 (-1.461) 0.340 0.334 3.490 2.673
VMA(5,20,0.01) 0.008 (-0.128) 0.024 (0.033) -0.015 (-0.133) 0.345 0.333 3.550 2.218
VMA(1,50,0.01) -0.077 (-1.110) 0.101 (0.973) -0.178 (-1.746) 0.341 0.329 3.301 2.209
VMA(2,50,0.01) -0.069 (-1.013) 0.075 (0.665) -0.144 (-1.413) 0.336 0.325 3.303 2.237
VMA(5,50,0.01) -0.003 (-0.268) 0.052 (0.375) -0.055 (-0.534) 0.343 0.322 3.625 2.198
VMA(1,150,0.01) 0.018 (-0.030) 0.042 (0.266) -0.024 (-0.247) 0.348 0.295 3.462 2.096
VMA(2,150,0.01) 0.041 (0.246) 0.023 (0.027) 0.018 (0.191) 0.351 0.291 3.465 2.110
VMA(5,150,0.01) 0.082 (0.727) -0.003 (-0.293) 0.085 (0.876) 0.360 0.290 3.452 2.119
VMA(1,200,0.01) 0.048 (0.325) 0.005 (-0.193) 0.042 (0.447) 0.354 0.278 3.474 1.978
VMA(2,200,0.01) 0.056 (0.424) -0.011 (-0.402) 0.067 (0.709) 0.358 0.276 3.479 1.994
VMA(5,200,0.01) 0.070 (0.597) -0.019 (-0.505) 0.089 (0.946) 0.361 0.278 3.486 1.981
Average -0.001 (-0.219) 0.035 (0.205) -0.035 (-0.353) 0.341 0.304 3.397 2.181
Note: The returns in column Buy, Sell and Buy-Sell and the standard deviations (SDB and SDS) have been multiplied by a factor of 102. **
and * denote significant at 5% and 10% significant level
respectively.
Table 4
Test results of FMA rules from 2001 to 2016 for FBMKLCI and sector indices.
Buy t-stat Sell t-stat Buy t-stat Buy Sell SDB SDS Buy t-stat Sell t-stat Buy t-stat Buy Sell SDB SDS
-Sell >0 >0 -Sell >0 >0
FMA(1,50,0) 0.510 (1.167) -0.198 (-1.606) 0.708 (2.402) 0.592 0.504 2.501 3.071 0.651 (1.395) -0.680* (-1.919) 1.331** (2.870) 0.557 0.482 3.847 4.909
FMA(2,50,0) 0.518 (1.198) -0.196 (-1.611) 0.714 (2.432) 0.591 0.507 2.512 3.044 0.681 (1.471) -0.699** (-1.979) 1.380** (2.988) 0.569 0.465 3.862 4.863
41
FMA(5,50,0) 0.444 (0.886) -0.099 (-1.237) 0.543 (1.838) 0.574 0.532 2.533 3.056 0.566 (1.164) -0.557 (-1.626) 1.123** (2.416) 0.561 0.475 3.901 4.887
FMA(1,150,0) 0.333 (0.406) 0.078 (-0.584) 0.255 (0.857) 0.581 0.519 2.707 2.827 0.339 (0.543) -0.198 (-0.781) 0.536 (1.147) 0.543 0.504 4.204 4.527
FMA(2,150,0) 0.344 (0.458) 0.049 (-0.680) 0.295 (0.986) 0.584 0.511 2.731 2.786 0.329 (0.518) -0.196 (-0.770) 0.525 (1.116) 0.546 0.496 4.231 4.491
FMA(5,150,0) 0.341 (0.446) 0.048 (-0.678) 0.293 (0.973) 0.577 0.523 2.716 2.815 0.339 (0.548) -0.227 (-0.833) 0.566 (1.197) 0.544 0.500 4.220 4.515
FMA(1,200,0) 0.384 (0.644) -0.076 (-1.077) 0.460 (1.492) 0.589 0.491 2.673 2.899 0.355 (0.602) -0.321 (-1.006) 0.676 (1.393) 0.553 0.474 4.138 4.697
FMA(2,200,0) 0.380 (0.625) -0.063 (-1.038) 0.443 (1.441) 0.587 0.496 2.681 2.882 0.345 (0.573) -0.294 (-0.950) 0.639 (1.320) 0.552 0.479 4.150 4.674
FMA(5,200,0) 0.376 (0.605) -0.047 (-0.988) 0.423 (1.380) 0.588 0.496 2.689 2.866 0.347 (0.577) -0.287 (-0.943) 0.635 (1.317) 0.552 0.479 4.166 4.634
FMA(1,50,0.01) 0.427 (0.789) 0.020 (-0.759) 0.407 (1.293) 0.576 0.542 2.554 3.304 0.317 (0.452) -0.042 (-0.446) 0.359 (0.767) 0.518 0.516 4.313 4.451
FMA(2,50,0.01) 0.447 (0.864) -0.036 (-0.948) 0.483 (1.518) 0.571 0.551 2.620 3.170 0.446 (0.787) -0.427 (-1.353) 0.873* (1.844) 0.536 0.493 3.979 4.840
FMA(5,50,0.01) 0.368 (0.521) -0.040 (-0.953) 0.408 (1.255) 0.553 0.539 2.561 3.189 0.447 (0.775) -0.105 (-0.588) 0.551 (1.152) 0.541 0.523 4.026 4.947
FMA(1,150,0.01) 0.318 (0.339) 0.034 (-0.717) 0.284 (0.923) 0.577 0.512 2.759 2.870 0.368 (0.595) -0.190 (-0.802) 0.558 (1.206) 0.532 0.513 4.090 4.720
FMA(2,150,0.01) 0.291 (0.222) 0.039 (-0.698) 0.252 (0.815) 0.573 0.521 2.752 2.876 0.279 (0.358) 0.068 (-0.181) 0.211 (0.455) 0.528 0.529 4.188 4.555
FMA(5,150,0.01) 0.346 (0.455) 0.028 (-0.720) 0.318 (1.007) 0.587 0.522 2.755 2.942 0.459 (0.830) -0.216 (-0.862) 0.675 (1.449) 0.558 0.497 4.208 4.600
FMA(1,200,0.01) 0.328 (0.387) 0.016 (-0.750) 0.312 (0.986) 0.581 0.518 2.722 2.929 0.372 (0.609) -0.143 (-0.689) 0.515 (1.117) 0.541 0.506 4.067 4.663
FMA(2,200,0.01) 0.340 (0.442) 0.001 (-0.783) 0.339 (1.054) 0.581 0.505 2.721 2.983 0.387 (0.650) -0.201 (-0.823) 0.588 (1.270) 0.544 0.507 4.078 4.679
FMA(5,200,0.01) 0.352 (0.495) -0.112 (-1.131) 0.464 (1.417) 0.582 0.485 2.708 3.057 0.442 (0.799) -0.267 (-0.977) 0.709 (1.530) 0.553 0.493 4.076 4.680
Average 0.380 (0.608) -0.031 (-0.942) 0.411 (1.337) 0.578 0.515 2.661 2.976 0.415 (0.736) -0.277 (-0.974) 0.692 (1.475) 0.545 0.494 4.097 4.685
FMA(1,50,0) 0.517 (0.977) 0.056 (-1.344) 0.461** (2.011) 0.610 0.560 2.078 2.213 0.694 (1.566) -0.388** (-2.155) 1.082** (3.223) 0.601 0.518 2.908 3.375
FMA(2,50,0) 0.543 (1.115) 0.026 (-1.499) 0.517** (2.264) 0.613 0.556 2.079 2.202 0.715 (1.639) -0.399** (-2.205) 1.114** (3.330) 0.609 0.507 2.919 3.343
FMA(5,50,0) 0.471 (0.723) 0.126 (-1.010) 0.345 (1.501) 0.600 0.576 2.113 2.173 0.640 (1.364) -0.314* (-1.905) 0.953** (2.831) 0.596 0.525 2.948 3.349
FMA(1,150,0) 0.349 (0.042) 0.328 (-0.061) 0.021 (0.089) 0.568 0.630 2.252 1.938 0.528 (0.945) -0.149 (-1.361) 0.677** (1.998) 0.585 0.541 3.022 3.288
FMA(2,150,0) 0.344 (0.017) 0.335 (-0.026) 0.009 (0.037) 0.571 0.626 2.244 1.944 0.523 (0.931) -0.160 (-1.383) 0.684** (2.005) 0.588 0.534 3.034 3.276
FMA(5,150,0) 0.354 (0.070) 0.318 (-0.106) 0.036 (0.153) 0.568 0.633 2.242 1.941 0.541 (1.002) -0.209 (-1.523) 0.750** (2.187) 0.593 0.523 3.007 3.319
FMA(1,200,0) 0.396 (0.314) 0.222 (-0.525) 0.174 (0.726) 0.581 0.612 2.197 2.013 0.550 (1.053) -0.307* (-1.760) 0.857** (2.437) 0.601 0.500 2.959 3.427
FMA(2,200,0) 0.389 (0.275) 0.238 (-0.456) 0.152 (0.633) 0.583 0.607 2.208 1.989 0.547 (1.040) -0.293* (-1.725) 0.840** (2.396) 0.599 0.504 2.968 3.410
FMA(5,200,0) 0.386 (0.259) 0.246 (-0.423) 0.141 (0.590) 0.584 0.605 2.216 1.976 0.540 (1.011) -0.265 (-1.650) 0.805** (2.306) 0.596 0.513 2.977 3.391
FMA(1,50,0.01) 0.457 (0.627) 0.260 (-0.338) 0.197 (0.764) 0.598 0.612 2.162 2.272 0.719 (1.607) -0.329* (-1.912) 1.048** (2.990) 0.600 0.527 2.985 3.429
FMA(2,50,0.01) 0.460 (0.636) 0.161 (-0.754) 0.299 (1.153) 0.593 0.608 2.169 2.301 0.743* (1.680) -0.353* (-1.951) 1.095** (3.065) 0.605 0.512 2.933 3.487
FMA(5,50,0.01) 0.401 (0.315) 0.278 (-0.262) 0.124 (0.465) 0.568 0.622 2.218 2.310 0.584 (1.092) -0.157 (-1.340) 0.741** (2.051) 0.593 0.545 3.003 3.557
FMA(1,150,0.01) 0.378 (0.210) 0.139 (-0.803) 0.239 (0.908) 0.590 0.567 2.244 1.976 0.539 (0.964) -0.067 (-1.071) 0.606* (1.722) 0.578 0.568 2.941 3.593
FMA(2,150,0.01) 0.372 (0.177) 0.231 (-0.435) 0.141 (0.533) 0.587 0.596 2.266 1.946 0.510 (0.856) -0.079 (-1.102) 0.589* (1.666) 0.573 0.545 2.956 3.610
FMA(5,150,0.01) 0.323 (-0.100) 0.219 (-0.469) 0.105 (0.383) 0.568 0.585 2.286 2.079 0.608 (1.208) -0.186 (-1.417) 0.794** (2.214) 0.590 0.533 2.985 3.627
FMA(1,200,0.01) 0.369 (0.159) 0.174 (-0.648) 0.195 (0.728) 0.592 0.553 2.219 2.021 0.530 (0.946) -0.129 (-1.240) 0.659* (1.861) 0.587 0.529 2.916 3.629
FMA(2,200,0.01) 0.394 (0.301) 0.274 (-0.259) 0.120 (0.444) 0.599 0.578 2.221 2.044 0.487 (0.777) -0.064 (-1.056) 0.551** (1.566) 0.583 0.537 2.911 3.587
FMA(5,200,0.01) 0.358 (0.097) 0.381 (0.150) -0.022 (-0.082) 0.579 0.593 2.257 1.939 0.571 (1.088) -0.118 (-1.210) 0.689* (1.938) 0.602 0.533 2.942 3.614
Average 0.403 (0.345) 0.223 (-0.515) 0.181 (0.739) 0.586 0.592 2.204 2.071 0.587 (1.154) -0.220 ( -1.554) 0.807 (2.321) 0.591 0.526 2.962 3.462
Table 4 (continued)
Buy t-stat Sell t-stat Buy t-stat Buy Sell SDB SDS Buy t-stat Sell t-stat Buy t-stat Buy Sell SDB SDS
-Sell >0 >0 -Sell >0 >0
FMA(1,50,0) 0.357 (0.559) 0.038 (-0.769) 0.320 (1.151) 0.561 0.560 2.400 2.882 0.577 (1.451) -0.368** (-1.996) 0.945** (2.986) 0.588 0.511 2.761 3.168
FMA(2,50,0) 0.366 (0.594) 0.031 (-0.799) 0.334 (1.207) 0.560 0.563 2.400 2.872 0.592 (1.506) -0.372** (-2.025) 0.964** (3.058) 0.600 0.493 2.774 3.138
FMA(5,50,0) 0.322 (0.399) 0.091 (-0.557) 0.231 (0.828) 0.543 0.590 2.494 2.759 0.455 (0.963) -0.180 (-1.346) 0.635** (2.000) 0.587 0.511 2.794 3.175
FMA(1,150,0) 0.177 (-0.270) 0.337 (0.389) -0.160 (-0.571) 0.547 0.585 2.621 2.557 0.368 (0.616) -0.048 (-0.888) 0.416 (1.303) 0.577 0.526 2.810 3.185
FMA(2,150,0) 0.222 (-0.061) 0.259 (0.091) -0.037 (-0.132) 0.550 0.580 2.694 2.418 0.356 (0.571) -0.039 (-0.848) 0.395 (1.230) 0.576 0.527 2.826 3.172
FMA(5,150,0) 0.208 (-0.127) 0.287 (0.194) -0.079 (-0.278) 0.544 0.594 2.707 2.381 0.319 (0.421) 0.022 (-0.639) 0.297 (0.918) 0.568 0.539 2.846 3.153
FMA(1,200,0) 0.277 (0.195) 0.145 (-0.327) 0.132 (0.453) 0.565 0.552 2.664 2.450 0.357 (0.582) -0.090 (-0.974) 0.447 (1.348) 0.585 0.500 2.806 3.249
FMA(2,200,0) 0.265 (0.141) 0.171 (-0.234) 0.094 (0.325) 0.560 0.564 2.675 2.427 0.338 (0.506) -0.047 (-0.840) 0.386 (1.166) 0.583 0.504 2.823 3.218
FMA(5,200,0) 0.260 (0.118) 0.183 (-0.192) 0.078 (0.268) 0.556 0.571 2.685 2.409 0.338 (0.502) -0.039 (-0.820) 0.377 (1.145) 0.584 0.504 2.834 3.192
42
FMA(1,50,0.01) 0.431 (0.868) 0.142 (-0.345) 0.289 (0.975) 0.556 0.607 2.495 2.805 0.460 (0.942) -0.089 (-1.008) 0.548 (1.646) 0.579 0.543 2.841 3.239
FMA(2,50,0.01) 0.302 (0.292) 0.152 (-0.305) 0.150 (0.499) 0.538 0.597 2.443 2.821 0.449 (0.900) -0.206 (-1.375) 0.655* (1.940) 0.572 0.524 2.891 3.163
FMA(5,50,0.01) 0.359 (0.529) 0.245 (0.035) 0.115 (0.372) 0.546 0.612 2.501 2.889 0.393 (0.678) -0.011 (-0.722) 0.404 (1.167) 0.569 0.552 2.890 3.201
FMA(1,150,0.01) 0.162 (-0.331) 0.347 (0.405) -0.184 (-0.622) 0.529 0.590 2.708 2.527 0.423 (0.821) -0.058 (-0.907) 0.481 (1.466) 0.575 0.543 2.799 3.294
FMA(2,150,0.01) 0.150 (-0.384) 0.397 (0.594) -0.246 (-0.839) 0.516 0.612 2.695 2.491 0.425 (0.828) -0.032 (-0.818) 0.457 (1.388) 0.573 0.547 2.789 3.252
FMA(5,150,0.01) 0.183 (-0.237) 0.331 (0.347) -0.148 (-0.498) 0.527 0.612 2.730 2.447 0.403 (0.738) -0.014 (-0.750) 0.417 (1.251) 0.570 0.540 2.844 3.282
FMA(1,200,0.01) 0.241 (0.027) 0.266 (0.110) -0.025 (-0.084) 0.544 0.582 2.713 2.480 0.337 (0.488) 0.030 (-0.613) 0.308 (0.941) 0.563 0.551 2.801 3.273
FMA(2,200,0.01) 0.224 (-0.053) 0.326 (0.320) -0.102 (-0.339) 0.549 0.583 2.732 2.459 0.349 (0.538) -0.026 (-0.790) 0.376 (1.142) 0.567 0.540 2.778 3.306
FMA(5,200,0.01) 0.175 (-0.278) 0.266 (0.106) -0.091 (-0.296) 0.534 0.578 2.736 2.462 0.332 (0.466) 0.015 (-0.654) 0.317 (0.959) 0.559 0.537 2.803 3.327
Average 0.260 (0.110) 0.223 (-0.052) 0.037 (0.134) 0.545 0.581 2.616 2.585 0.404 (0.751) -0.086 (-1.001) 0.490 (1.503) 0.575 0.525 2.817 3.222
G: PLN H: PRP
FMA(1,50,0) 0.831 (1.169) -0.184 (-1.609) 1.015** (2.406) 0.588 0.553 3.451 4.562 0.857** (2.018) -0.927** (-2.776) 1.784** (4.152) 0.557 0.369 4.103 3.603
FMA(2,50,0) 0.843 (1.202) -0.182 (-1.616) 1.026** (2.440) 0.591 0.549 3.450 4.542 0.888** (2.100) -0.937** (-2.825) 1.825** (4.265) 0.569 0.354 4.125 3.559
FMA(5,50,0) 0.701 (0.779) 0.017 (-1.088) 0.684 (1.617) 0.578 0.568 3.442 4.626 0.721 (1.619) -0.727** (-2.261) 1.448** (3.361) 0.552 0.374 4.136 3.629
FMA(1,150,0) 0.647 (0.619) 0.090 (-0.891) 0.557 (1.308) 0.577 0.570 3.642 4.397 0.521 (1.032) -0.424 (-1.486) 0.945** (2.181) 0.526 0.415 4.173 3.646
FMA(2,150,0) 0.603 (0.489) 0.152 (-0.726) 0.451 (1.053) 0.580 0.565 3.697 4.342 0.487 (0.933) -0.389 (-1.385) 0.876** (2.008) 0.529 0.405 4.196 3.593
FMA(5,150,0) 0.571 (0.392) 0.202 (-0.597) 0.369 (0.857) 0.568 0.586 3.696 4.362 0.466 (0.875) -0.371 (-1.330) 0.837* (1.910) 0.531 0.398 4.156 3.672
FMA(1,200,0) 0.642 (0.617) 0.010 (-1.033) 0.631 (1.430) 0.581 0.560 3.661 4.470 0.450 (0.839) -0.423 (-1.403) 0.874* (1.943) 0.522 0.405 4.106 3.738
FMA(2,200,0) 0.641 (0.616) 0.016 (-1.022) 0.625 (1.419) 0.579 0.564 3.669 4.451 0.442 (0.813) -0.399 (-1.349) 0.841* (1.874) 0.520 0.410 4.122 3.707
FMA(5,200,0) 0.657 (0.664) -0.007 (-1.083) 0.664 (1.514) 0.584 0.555 3.678 4.418 0.454 (0.849) -0.410 (-1.385) 0.864* (1.936) 0.524 0.403 4.136 3.678
FMA(1,50,0.01) 0.796 (1.041) -0.157 (-1.467) 0.953** (2.141) 0.604 0.532 3.696 4.573 0.750 (1.562) -0.333 (-1.348) 1.083** (2.482) 0.526 0.448 4.167 3.966
FMA(2,50,0.01) 0.752 (0.910) -0.154 (-1.439) 0.906** (2.010) 0.592 0.546 3.685 4.466 0.732 (1.500) -0.342 (-1.370) 1.074** (2.444) 0.526 0.438 4.194 3.939
FMA(5,50,0.01) 0.783 (0.990) 0.131 (-0.742) 0.652 (1.421) 0.615 0.565 3.711 4.537 0.699 (1.410) -0.411 (-1.529) 1.110** (2.496) 0.526 0.439 4.215 3.892
FMA(1,150,0.01) 0.751 (0.943) -0.189 (-1.497) 0.940** (2.098) 0.600 0.526 3.893 4.099 0.666 (1.376) -0.458* (-1.681) 1.125** (2.633) 0.526 0.436 4.198 3.775
FMA(2,150,0.01) 0.765 (0.983) -0.175 (-1.445) 0.940** (2.071) 0.603 0.527 3.899 4.132 0.708 (1.486) -0.488* (-1.761) 1.196** (2.794) 0.532 0.429 4.207 3.765
FMA(5,150,0.01) 0.803 (1.103) -0.222 (-1.560) 1.025** (2.268) 0.604 0.523 3.811 4.313 0.692 (1.436) -0.500* (-1.781) 1.192** (2.764) 0.527 0.425 4.226 3.774
FMA(1,200,0.01) 0.769 (1.009) -0.203 (-1.472) 0.972** (2.106) 0.601 0.534 3.742 4.521 0.712 (1.518) -0.426 (-1.591) 1.137** (2.677) 0.530 0.432 4.178 3.765
FMA(2,200,0.01) 0.772 (1.018) -0.202 (-1.476) 0.974** (2.118) 0.605 0.529 3.741 4.499 0.702 (1.490) -0.424 (-1.579) 1.126** (2.641) 0.530 0.431 4.173 3.798
FMA(5,200,0.01) 0.693 (0.771) -0.047 (-1.108) 0.740 (1.590) 0.599 0.545 3.882 4.319 0.734 (1.578) -0.417 (-1.551) 1.151** (2.683) 0.538 0.427 4.168 3.799
Average 0.723 (0.851) -0.061 (-1.215) 0.785* (1.770) 0.591 0.549 3.691 4.424 0.649 (1.357) -0.489* (-1.688) 1.138** ( 2.625) 0.533 0.413 4.165 3.739
Table 4 (continued)
Buy t-stat Sell t-stat Buy t-stat Buy > Sell SDB SDS Buy t-stat Sell t-stat Buy t-stat Buy Sell > SDB SDS
-Sell 0 >0 -Sell >0 0
FMA(1,50,0) 0.459 (1.096) -0.204 (-1.508) 0.663** (2.256) 0.566 0.525 2.521 3.029 0.264 (1.146) -1.027 (-1.577) 1.291** (2.358) 0.478 0.440 5.128 4.992
FMA(2,50,0) 0.467 (1.126) -0.202 (-1.514) 0.669** (2.286) 0.573 0.514 2.533 3.003 0.266 (1.146) -1.003 (-1.542) 1.269** (2.328) 0.480 0.438 5.134 4.988
FMA(5,50,0) 0.408 (0.879) -0.129 (-1.227) 0.537* (1.824) 0.565 0.525 2.564 2.992 0.117 (0.807) -0.802 (-1.127) 0.919* (1.674) 0.461 0.468 5.156 4.994
FMA(1,150,0) 0.270 (0.283) 0.093 (-0.407) 0.177 (0.597) 0.556 0.541 2.693 2.831 -0.235 (-0.013) -0.219 (0.019) -0.015 (-0.028) 0.427 0.526 5.091 5.157
FMA(2,150,0) 0.294 (0.389) 0.045 (-0.577) 0.249 (0.836) 0.559 0.534 2.742 2.743 -0.238 (-0.020) -0.213 (0.030) -0.025 (-0.044) 0.424 0.534 5.082 5.176
FMA(5,150,0) 0.284 (0.344) 0.059 (-0.523) 0.225 (0.751) 0.556 0.539 2.729 2.770 -0.207 (0.053) -0.272 (-0.081) 0.065 (0.117) 0.427 0.531 5.058 5.222
FMA(1,200,0) 0.319 (0.508) -0.042 (-0.849) 0.361 (1.175) 0.561 0.526 2.685 2.857 -0.202 (0.064) -0.288 (-0.108) 0.085 (0.149) 0.431 0.534 5.015 5.328
FMA(2,200,0) 0.317 (0.496) -0.034 (-0.823) 0.350 (1.142) 0.563 0.521 2.692 2.841 -0.215 (0.035) -0.261 (-0.058) 0.046 (0.080) 0.429 0.538 5.022 5.312
FMA(5,200,0) 0.317 (0.494) -0.028 (-0.807) 0.344 (1.128) 0.564 0.521 2.699 2.827 -0.207 (0.053) -0.276 (-0.087) 0.069 (0.122) 0.432 0.529 5.040 5.270
FMA(1,50,0.01) 0.340 (0.562) -0.124 (-1.160) 0.464 (1.489) 0.539 0.544 2.595 3.093 0.344 (1.170) -0.734 (-1.127) 1.079** (1.969) 0.500 0.430 5.416 4.828
43
FMA(2,50,0.01) 0.312 (0.446) -0.085 (-1.011) 0.397 (1.262) 0.534 0.562 2.624 3.035 0.295 (1.072) -0.601 (-0.823) 0.896 (1.632) 0.510 0.423 5.155 5.031
FMA(5,50,0.01) 0.310 (0.430) -0.114 (-1.080) 0.424 (1.304) 0.528 0.554 2.652 3.136 0.434 (1.344) -0.684 (-1.000) 1.118** (2.013) 0.523 0.427 5.328 4.827
FMA(1,150,0.01) 0.280 (0.322) 0.015 (-0.641) 0.264 (0.835) 0.554 0.541 2.751 2.898 0.289 (1.070) -0.710 (-1.081) 1.000* (1.852) 0.497 0.429 5.444 4.816
FMA(2,150,0.01) 0.249 (0.188) 0.006 (-0.670) 0.243 (0.762) 0.539 0.541 2.764 2.916 0.453 (1.410) -0.772 (-1.217) 1.225** (2.268) 0.513 0.424 5.397 4.804
FMA(5,150,0.01) 0.221 (0.066) 0.088 (-0.392) 0.133 (0.414) 0.536 0.537 2.775 2.985 0.439 (1.379) -0.779 (-1.225) 1.218** (2.243) 0.516 0.420 5.470 4.783
FMA(1,200,0.01) 0.301 (0.421) -0.070 (-0.900) 0.372 (1.147) 0.560 0.510 2.734 2.991 0.406 (1.304) -0.625 (-0.888) 1.031* (1.899) 0.503 0.438 5.446 4.841
FMA(2,200,0.01) 0.347 (0.620) 0.004 (-0.660) 0.343 (1.062) 0.558 0.524 2.563 2.946 0.462 (1.420) -0.659 (-0.958) 1.121** (2.058) 0.516 0.435 5.540 4.781
FMA(5,200,0.01) 0.266 (0.265) 0.064 (-0.456) 0.202 (0.616) 0.553 0.535 2.756 2.973 0.236 (0.954) -0.591 (-0.806) 0.828 (1.515) 0.494 0.442 5.531 4.810
Average 0.320 (0.496) -0.036 (-0.845) 0.357 (1.160) 0.554 0.533 2.671 2.937 0.150 (0.800) -0.584 (-0.759) 0.734 (1.345) 0.468 0.458 5.247 4.998
Panel K: TIN
FMA(1,50,0) 0.945 (0.437) -0.181 (-0.547) 1.127 (0.847) 0.412 0.426 17.271 6.007
FMA(2,50,0) 1.009 (0.488) -0.213 (-0.579) 1.222 (0.917) 0.404 0.433 17.451 6.006
FMA(5,50,0) 1.071 (0.533) -0.225 (-0.596) 1.296 (0.970) 0.400 0.435 17.743 5.990
FMA(1,150,0) 1.442 (0.866) -0.445 (-0.791) 1.887 (1.435) 0.419 0.406 17.565 5.248
FMA(2,150,0) 1.535 (0.949) -0.547 (-0.880) 2.082 (1.584) 0.425 0.400 17.463 5.240
FMA(5,150,0) 1.478 (0.902) -0.507 (-0.842) 1.985 (1.511) 0.423 0.402 17.360 5.424
FMA(1,200,0) 1.237 (0.682) -0.229 (-0.601) 1.465 (1.111) 0.449 0.381 17.648 5.723
FMA(2,200,0) 1.228 (0.677) -0.229 (-0.600) 1.457 (1.106) 0.446 0.383 17.636 5.632
FMA(5,200,0) 1.300 (0.735) -0.273 (-0.642) 1.573 (1.192) 0.452 0.379 17.744 5.588
FMA(1,50,0.01) 0.947 (0.438) -0.181 (-0.547) 1.129 (0.847) 0.408 0.426 17.322 6.007
FMA(2,50,0.01) 1.009 (0.488) -0.213 (-0.579) 1.222 (0.917) 0.404 0.433 17.451 6.006
FMA(5,50,0.01) 1.071 (0.533) -0.225 (-0.596) 1.296 (0.970) 0.400 0.435 17.743 5.990
FMA(1,150,0.01) 1.442 (0.866) -0.445 (-0.791) 1.887 (1.435) 0.419 0.406 17.565 5.248
FMA(2,150,0.01) 1.535 (0.949) -0.547 (-0.880) 2.082 (1.584) 0.425 0.400 17.463 5.240
FMA(5,150,0.01) 1.478 (0.902) -0.507 (-0.842) 1.985 (1.511) 0.423 0.402 17.360 5.424
FMA(1,200,0.01) 1.237 (0.682) -0.229 (-0.601) 1.465 (1.111) 0.449 0.381 17.648 5.723
FMA(2,200,0.01) 1.228 (0.677) -0.229 (-0.600) 1.457 (1.106) 0.446 0.383 17.636 5.632
FMA(5,200,0.01) 1.300 (0.735) -0.273 (-0.642) 1.573 (1.192) 0.452 0.379 17.744 5.588
Average 1.250 (0.543) -0.317 (-0.976) 1.566 (1.112) 0.425 0.405 17.545 5.651
Note: The returns in column Buy, Sell and Buy-Sell and the standard deviations (SDB and SDS) have been multiplied by a factor of 102. **
and * denote significant at 5% and 10% significant level
respectively.
44
Table 5
Test results of TRB trading rules from 2001 to 2016 for FBMKLCI and sector indices.
Buy t-stat Sell t-stat Buy-Sell t-stat Buy > 0 Sell > 0 SDB SDS
Panel A: FBMKLCI
TRB(50,0) 0.617 (1.263) -0.556** (-1.970) 1.173** (2.551) 0.655 0.528 2.543 3.444
TRB(150,0) 0.603 (1.099) -0.875* (-1.680) 1.479** (2.072) 0.600 0.444 2.677 3.778
TRB(200,0) 0.646 (1.173) -0.307 (-0.801) 0.953 (1.291) 0.618 0.529 2.778 4.051
TRB(50,0.01) 0.929 (1.416) -0.371 (-1.188) 1.300* (1.916) 0.629 0.581 3.037 4.300
TRB(150,0.01) 0.616 (0.699) -0.147 (-0.550) 0.763 (0.885) 0.643 0.500 3.133 4.139
TRB(200,0.01) 0.647 (0.716) -0.081 (-0.413) 0.727 (0.774) 0.640 0.538 3.288 4.220
Average 0.676 (1.061) -0.390 (-1.100) 1.066 (1.581) 0.628 0.520 2.910 3.989
Panel B: CON
TRB(50,0) 0.613 (0.937) -1.213** (-2.315) 1.826** (2.599) 0.602 0.391 4.578 4.725
TRB(150,0) 0.627 (0.810) -2.016** (-2.587) 2.643** (2.709) 0.639 0.310 5.292 5.011
TRB(200,0) 0.639 (0.794) -1.922** (-2.351) 2.561** (2.487) 0.655 0.346 5.313 5.141
TRB(50,0.01) 0.618 (0.742) -0.728 (-1.223) 1.346 (1.490) 0.558 0.537 5.652 5.494
TRB(150,0.01) 0.767 (0.827) -1.556* (-1.710) 2.324* (1.926) 0.639 0.350 6.484 5.650
TRB(200,0.01) 0.834 (0.829) -1.406 (-1.483) 2.240* (1.726) 0.621 0.389 6.914 5.434
Average 0.683 (0.823) -1.474* (-1.945) 2.157** (2.156) 0.609 0.399 5.705 5.242
Panel C: COP
TRB(50,0) 0.518 (0.807) 0.099 (-0.731) 0.419 (1.149) 0.648 0.489 1.997 2.324
TRB(150,0) 0.611 (1.114) 0.180 (-0.295) 0.431 (0.747) 0.667 0.688 2.028 1.732
TRB(200,0) 0.598 (1.034) 0.534 (0.308) 0.063 (0.097) 0.645 0.667 2.039 1.988
TRB(50,0.01) 0.175 (-0.367) 0.331 (-0.022) -0.155 (-0.246) 0.667 0.636 3.133 2.204
TRB(150,0.01) -0.194 (-1.037) 0.908 (0.741) -1.102 (-1.212) 0.611 0.750 3.478 2.299
TRB(200,0.01) -0.448 (-1.445) 1.035 (0.788) -1.484 (-1.449) 0.563 0.667 3.616 3.268
Average 0.210 (0.018) 0.515 (0.132) -0.305 (-0.152) 0.648 0.579 2.715 2.303
Panel D: FIN
TRB(50,0) 0.592 (0.891) -0.831** (-2.435) 1.423** (2.702) 0.621 0.500 3.125 3.630
TRB(150,0) 0.814 (1.329) -1.500** (-2.474) 2.314** (2.925) 0.630 0.400 3.426 4.113
TRB(200,0) 0.884 (1.404) -1.738** (-2.445) 2.623** (2.908) 0.629 0.333 3.595 4.361
TRB(50,0.01) 0.484 (0.394) -0.999** (-2.246) 1.483** (2.023) 0.561 0.545 3.721 4.327
TRB(150,0.01) 0.585 (0.520) -1.053 (-1.562) 1.638 (1.623) 0.548 0.500 3.804 4.941
TRB(200,0.01) 0.528 (0.396) -0.884 (-1.316) 1.412 (1.334) 0.593 0.538 3.915 5.100
Average 0.648 (0.823) -1.168** (-2.080) 1.816** (2.253) 0.599 0.480 3.598 4.412
Panel E: IND
TRB(50,0) 0.353 (0.414) -0.252 (-1.310) 0.605 (1.416) 0.565 0.571 2.496 3.028
TRB(150,0) 0.336 (0.314) 0.179 (-0.099) 0.157 (0.251) 0.550 0.636 2.518 3.102
TRB(200,0) 0.367 (0.394) 0.186 (-0.074) 0.181 (0.252) 0.542 0.688 2.571 3.514
TRB(50,0.01) 0.564 (0.698) -0.120 (-0.663) 0.685 (0.995) 0.606 0.520 2.714 3.661
TRB(150,0.01) 0.390 (0.295) 1.684 (2.119) -1.294 (-1.537) 0.538 0.733 2.945 2.108
TRB(200,0.01) 0.416 (0.331) 1.805 (1.976) -1.389 (-1.469) 0.542 0.727 3.067 2.313
Average 0.404 (0.408) 0.580 (0.325) -0.176 (-0.015) 0.549 0.593 2.719 2.954
Panel F: INP
TRB(50,0) 0.778* (1.705) -0.829** (-2.465) 1.606** (3.274) 0.641 0.411 3.022 3.377
TRB(150,0) 0.758 (1.380) -0.779 (-1.598) 1.537** (2.186) 0.582 0.583 2.946 4.339
TRB(200,0) 0.725 (1.238) -0.778 (-1.430) 1.503* (1.932) 0.583 0.579 3.083 4.734
TRB(50,0.01) 1.529** (2.608) -0.960** (-1.996) 2.489** (3.346) 0.737 0.444 3.530 4.342
TRB(150,0.01) 1.664** (2.233) -1.510** (-2.070) 3.174** (3.071) 0.773 0.538 3.456 5.318
TRB(200,0.01) 1.669** (2.141) -1.326 (-1.628) 2.994** (2.616) 0.800 0.500 3.522 6.391
Average 1.187* (1.884) -1.030* (-1.865) 2.217** (2.737) 0.644 0.480 3.260 4.750
Panel G: PLN
TRB(50,0) 1.147 (1.641) -1.116** (-2.760) 2.263** (3.495) 0.624 0.429 3.653 4.360
TRB(150,0) 1.513** (2.181) -1.112* (-1.910) 2.625** (2.900) 0.615 0.520 4.174 5.157
TRB(200,0) 1.776** (2.595) -1.998** (-2.634) 3.773** (3.704) 0.671 0.474 4.183 4.637
TRB(50,0.01) 1.212 (1.372) -1.774** (-2.775) 2.986** (3.204) 0.561 0.462 4.016 5.307
TRB(150,0.01) 1.370 (1.476) -2.020** (-2.297) 3.390** (2.805) 0.545 0.500 4.425 5.726
TRB(200,0.01) 1.509* (1.661) -2.530** (-2.468) 4.039** (3.028) 0.548 0.364 4.450 5.360
Average 1.421* (1.821) -1.758** (-2.474) 3.179** (3.189) 0.602 0.442 4.150 5.091
45
Table 5 (continued)
Buy t-stat Sell t-stat Buy-Sell t-stat Buy > 0 Sell > 0 SDB SDS
Panel H: PRP
TRB(50,0) 1.674** (3.090) -2.045** (-4.116) 3.718** (5.614) 0.631 0.277 4.223 3.635
TRB(150,0) 1.754** (2.745) -2.191** (-3.423) 3.945** (4.644) 0.607 0.243 4.448 4.173
TRB(200,0) 1.675** (2.524) -1.872** (-2.924) 3.547** (4.080) 0.615 0.306 4.719 4.180
TRB(50,0.01) 1.758** (2.596) -1.371** (-2.419) 3.129** (3.758) 0.612 0.386 6.091 4.230
TRB(150,0.01) 1.447* (1.816) -2.303** (-2.816) 3.750** (3.456) 0.528 0.227 6.481 5.017
TRB(200,0.01) 1.580* (1.954) -2.218** (-2.661) 3.797** (3.412) 0.559 0.286 6.612 5.125
Average 1.648** (2.454) -2.000** (-3.060) 3.648** (4.161) 0.599 0.289 5.429 4.393
Panel I: TAS
TRB(50,0) 0.355 (0.489) -0.360 (-1.427) 0.714 (1.562) 0.558 0.491 2.585 3.683
TRB(150,0) 0.236 (0.090) -0.073 (-0.483) 0.309 (0.484) 0.538 0.500 2.741 3.708
TRB(200,0) 0.241 (0.098) 0.411 (0.334) -0.170 (-0.250) 0.543 0.476 2.774 3.935
TRB(50,0.01) 1.354** (2.171) -0.891** (-2.108) 2.245** (3.144) 0.759 0.467 3.358 4.222
TRB(150,0.01) 0.617 (0.699) -0.106 (-0.445) 0.723 (0.811) 0.609 0.438 3.694 4.043
TRB(200,0.01) 0.541 (0.545) 0.523 (0.425) 0.018 (0.019) 0.571 0.571 3.852 4.248
Average 0.557 (0.682) -0.083 (-0.617) 0.640 (0.962) 0.567 0.481 3.167 3.973
Panel J: TEC
TRB(50,0) 1.437** (2.456) -2.025** (-2.908) 3.461** (4.137) 0.642 0.274 5.303 5.544
TRB(150,0) 1.468** (2.084) -1.616* (-1.951) 3.085** (3.042) 0.636 0.283 5.896 5.862
TRB(200,0) 0.924 (1.309) -1.859** (-2.136) 2.783** (2.523) 0.649 0.255 5.460 4.929
TRB(50,0.01) 1.286* (1.860) -2.227** (-2.768) 3.513** (3.440) 0.591 0.310 5.900 5.338
TRB(150,0.01) 0.417 (0.666) -1.651* (-1.728) 2.068* (1.702) 0.533 0.326 6.422 5.723
TRB(200,0.01) 0.128 (0.339) -2.084** (-2.105) 2.212* (1.673) 0.520 0.324 6.243 4.444
Average 0.943 (1.452) -1.910** (-2.266) 2.854** (2.753) 0.595 0.289 5.871 5.306
Panel K: TIN
TRB(50,0) -0.441 (-0.473) -0.722 (-0.630) 0.281 (0.115) 0.415 0.407 13.183 5.431
TRB(150,0) -0.400 (-0.439) -0.249 (-0.340) -0.151 (-0.058) 0.420 0.500 13.742 5.726
TRB(200,0) 0.654 (0.096) 0.007 (-0.173) 0.647 (0.200) 0.455 0.464 16.237 5.839
TRB(50,0.01) 0.200 (-0.099) 0.345 (-0.034) -0.145 (-0.042) 0.452 0.458 16.898 6.396
TRB(150,0.01) 0.452 (0.007) 0.740 (0.108) -0.288 (-0.081) 0.419 0.524 16.674 6.566
TRB(200,0.01) 0.407 (-0.011) 0.991 (0.178) -0.585 (-0.151) 0.464 0.529 17.700 7.270
Average 0.145 (-0.110) 0.185 (-0.195) -0.040 (-0.014) 0.437 0.481 15.739 6.205
Note: The returns in column Buy, Sell and Buy-Sell and the standard deviations ((Buy) and (Sell)) have been multiplied by a factor of 10 2. **
and * denote significant at 5% and 10% significant level respectively.
46
Table 6
Estimates for the Sentiment-TAR(1) model with the investor sentiment index as the threshold variable ().
FBMKLCI CON COP FIN IND INP PLN PRP TAS TEC TIN
Panel A: SentimentECO-TAR(1)
α0 0.000 0.000 0.001** 0.001** 0.000* 0.000 0.000 0.000 0.000 0.000 0.000
(1.208) (0.716) (3.488) (1.959) (1.890) (1.515) (1.124) (0.569) (1.063) (0.937) (0.535)
α1 0.089** 0.075** 0.039 0.256** 0.046** 0.092** 0.072** 0.195** 0.049** 0.062** -0.045**
(3.757) (4.255) (0.866) (6.432) (2.271) (5.168) (2.836) (11.678) (2.029) (2.356) (-2.373)
β0 0.000 0.001 0.000** 0.000 0.000 0.000 0.001** 0.000 0.000 -0.000 0.000
(1.043) (1.116) (2.130) (0.535) (0.513) (0.122) (2.145) (0.437) (0.819) (-1.535) (0.025)
β1 0.199** 0.208** 0.112** 0.143** 0.133** 0.203** 0.209** 0.035** 0.187** 0.186** 0.448**
(9.510) (5.797) (6.599) (8.379) (5.265) (5.966) (10.398) (0.780) (8.961) (9.466) (16.930)
d 2 5 1 5 1 1 6 1 2 3 1
 0.845 0.845 -1.112 -0.856 0.379 0.802 0.312 0.880 -0.054 -0.055 0.915
p 0.000 0.000 0.000 >0.1 >0.1 >0.1 0.000 0.000 0.000 0.000 0.000
Panel B: SentimentMARKET-TAR(1)
α0 -0.001** -0.001** -0.000** -0.001** -0.001** -0.001** -0.001** -0.002** -0.001** -0.002** -0.000
(-2.537) (-3.393) (-2.286) (-2.771) (-2.549) (-3.787) (-2.938) (-4.765) (-2.657) (-4.230) (-0.175)
α1 0.088** 0.042* 0.087** 0.091** 0.050** 0.059** 0.191** 0.068** 0.083** 0.085** -0.067**
(3.566) (1.680) (3.373) (3.604) (1.991) (2.370) (6.739) (2.400) (3.286) (3.288) (-3.407)
β0 0.000** 0.001** 0.001** 0.000** 0.001** 0.001** 0.001** 0.001** 0.000** 0.000 0.001
(2.676) (2.478) (5.209) (2.825) (3.509) (3.492) (4.086) (2.940) (2.678) (1.278) (1.123)
β1 0.181** 0.129** 0.092** 0.193** 0.082** 0.130** 0.124** 0.202** 0.144** 0.165** 0.416**
(8.617) (3.206) (4.462) (9.350) (3.900) (6.195) (6.438) (10.537) (6.904) (8.184) (16.860)
d 1 1 1 1 1 1 1 1 1 1 4
 -0.765 -0.695 -0.670 -0.765 -0.684 -0.718 -1.416 -0.768 -0.765 -0.671 1.326
p 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Panel C: SentimentWORLD-TAR(1)
α0 0.000** -0.005** -0.003** -0.000* -0.000** -0.001** -0.001** -0.001** -0.000** -0.008** -0.001**
(-2.064) (-14.934) (-16.495) (-1.910) (-2.721) (-2.879) (-2.941) (-4.049) (-2.248) (-17.694) (-5.334)
α1 0.177** 0.078** 0.186** 0.202** 0.067** -0.017 0.124** 0.055* 0.160** 0.123** -0.084**
(8.417) (3.246) (6.192) (9.506) (3.170) (-0.578) (5.635) (1.891) (7.412) (4.230) (-3.319)
β0 0.001** 0.003** 0.001** 0.001** 0.001** 0.000** 0.001** 0.000** 0.001** 0.002** 0.003**
(4.508) (11.769) (13.053) (4.409) (6.458) (2.687) (5.588) (2.609) (4.186) (8.464) (5.473)
β1 0.112** 0.095** 0.051** 0.109** 0.017 0.163** 0.137** 0.215** 0.083** 0.124** 0.249**
(4.733) (4.849) (2.961) (4.691) (0.635) (8.662) (5.656) (11.632) (3.596) (7.026) (12.740)
d 3 1 1 3 1 3 1 3 3 1 1
 0.108 -0.266 -0.764 0.108 0.296 -0.919 -0.001 -0.918 0.051 -0.771 -0.147
p 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
Note: The estimates are produced based on the equation (11). ** and * denote significant at 5% and 10% significant level respectively.
Table 7
47
Test results of Sentiment-TAR(p,w) rules from 2001 to 2016 for FBMKLCI and sector indices.
Buy t-stat Sell t-stat Buy- t-stat Buy > Sell SDB SDS Buy t-stat Sell t-stat Buy- t-stat Buy > Sell SDB SDS
Sell 0 >0 Sell 0 >0
SentimentECO
S-TAR(1, 50) 0.057 (1.574) -0.034** (-2.506) 0.091** (3.485) 0.540 0.522 0.667 0.831 0.064 (1.532) -0.055* (-1.897) 0.120** (2.920) 0.525 0.494 1.044 1.329
S-TAR(1, 150) 0.060* (1.749) -0.031** (-2.416) 0.091** (3.586) 0.551 0.513 0.633 0.863 0.059 (1.387) -0.038 (-1.439) 0.097** (2.424) 0.530 0.482 1.031 1.332
S-TAR(1, 200) 0.055 (1.566) -0.030** (-2.320) 0.085** (3.359) 0.553 0.507 0.632 0.868 0.054 (1.273) -0.035 (-1.347) 0.089** (2.253) 0.520 0.493 1.033 1.330
S-TAR(2, 50) 0.058 (1.615) -0.031** (-2.373) 0.089** (3.396) 0.543 0.519 0.668 0.830 0.047 (1.011) -0.035 (-1.327) 0.082** (1.986) 0.517 0.499 1.068 1.316
S-TAR(2, 150) 0.070** (2.230) -0.040** (-2.760) 0.110** (4.268) 0.568 0.494 0.638 0.853 0.017 (0.157) 0.019 (0.203) -0.002 (-0.048) 0.510 0.508 1.069 1.312
S-TAR(2, 200) 0.059* (1.740) -0.036** (-2.530) 0.095** (3.674) 0.560 0.500 0.640 0.861 0.016 (0.141) 0.015 (0.081) 0.002 (0.044) 0.509 0.507 1.064 1.313
S-TAR(5, 50) 0.041 (0.846) -0.010 (-1.467) 0.052** (1.976) 0.539 0.526 0.692 0.808 0.029 (0.506) -0.011 (-0.653) 0.041 (0.985) 0.503 0.517 1.100 1.294
S-TAR(5, 150) 0.060* (1.727) -0.029** (-2.325) 0.088** (3.483) 0.560 0.503 0.638 0.844 0.037 (0.756) -0.007 (-0.533) 0.044 (1.100) 0.508 0.510 1.088 1.287
S-TAR(5, 200) 0.059* (1.695) -0.026** (-2.210) 0.085** (3.363) 0.561 0.502 0.636 0.851 0.003 (-0.279) 0.028 (0.472) -0.026 (-0.648) 0.507 0.507 1.182 1.184
Average 0.058 (1.638) -0.030** (-2.323) 0.087** (3.399) 0.553 0.510 0.649 0.845 0.036 (0.720) -0.013 (-0.715) 0.050 (1.224) 0.514 0.502 1.075 1.300
SentimentMARKET
S-TAR(1, 50) 0.058* (1.697) -0.020* (-1.960) 0.078** (3.167) 0.544 0.526 0.663 0.832 0.063 (1.574) -0.050* (-1.782) 0.113** (2.906) 0.524 0.485 1.138 1.213
S-TAR(1, 150) 0.051 (1.358) -0.015* (-1.676) 0.065** (2.627) 0.549 0.517 0.704 0.795 0.100** (2.827) -0.129** (-3.837) 0.229** (5.771) 0.538 0.457 1.083 1.293
S-TAR(1, 200) 0.042 (0.935) -0.005 (-1.212) 0.046* (1.859) 0.552 0.512 0.710 0.791 0.091** (2.525) -0.116** (-3.483) 0.207** (5.204) 0.531 0.467 1.109 1.262
S-TAR(2, 50) 0.053 (1.439) -0.014* (-1.695) 0.067** (2.714) 0.552 0.515 0.693 0.803 0.077** (1.978) -0.060** (-2.111) 0.137** (3.541) 0.521 0.491 1.175 1.169
S-TAR(2, 150) 0.050 (1.354) -0.016* (-1.718) 0.066** (2.661) 0.550 0.515 0.704 0.796 0.085** (2.272) -0.081** (-2.666) 0.167** (4.277) 0.536 0.469 1.081 1.277
S-TAR(2, 200) 0.057* (1.668) -0.027** (-2.181) 0.083** (3.334) 0.550 0.515 0.685 0.823 0.090** (2.457) -0.098** (-3.073) 0.188** (4.789) 0.535 0.466 1.058 1.313
S-TAR(5, 50) 0.036 (0.606) 0.007 (-0.724) 0.028 (1.152) 0.546 0.522 0.727 0.766 0.046 (1.024) -0.023 (-1.045) 0.069* (1.792) 0.520 0.493 1.139 1.208
S-TAR(5, 150) 0.046 (1.114) -0.007 (-1.364) 0.053** (2.146) 0.549 0.518 0.706 0.792 0.055 (1.331) -0.039 (-1.469) 0.094** (2.424) 0.529 0.480 1.129 1.223
S-TAR(5, 200) 0.049 (1.313) -0.016* (-1.722) 0.066** (2.628) 0.548 0.517 0.692 0.815 0.062 (1.555) -0.052* (-1.835) 0.114** (2.936) 0.523 0.485 1.053 1.311
Average 0.049 (1.276) -0.013 (-1.584) 0.062** (2.476) 0.549 0.517 0.698 0.802 0.074* (1.949) -0.072** (-2.367) 0.146** (3.738) 0.529 0.477 1.107 1.252
SentimentWORLD
S-TAR(1, 50) 0.273** (12.122) -0.280** (-13.791) 0.553** (22.442) 0.695 0.343 0.627 0.763 0.219** (6.339) -0.232** (-7.067) 0.450** (11.610) 0.578 0.422 1.112 1.199
S-TAR(1, 150) 0.330** (14.916) -0.352** (-17.056) 0.682** (27.689) 0.737 0.290 0.631 0.699 0.294** (8.808) -0.369** (-10.750) 0.662** (16.938) 0.617 0.358 1.060 1.213
S-TAR(1, 200) 0.323** (14.626) -0.354** (-17.045) 0.677** (27.428) 0.732 0.288 0.618 0.717 0.276** (8.348) -0.374** (-10.722) 0.650** (16.516) 0.610 0.355 1.060 1.225
S-TAR(2, 50) 0.146** (6.150) -0.161** (-8.047) 0.308** (12.295) 0.608 0.428 0.654 0.828 0.189** (5.422) -0.197** (-6.062) 0.386** (9.946) 0.567 0.436 1.077 1.248
S-TAR(2, 150) 0.164** (7.137) -0.220** (-10.281) 0.384** (15.087) 0.623 0.385 0.655 0.822 0.260** (7.749) -0.326** (-9.521) 0.585** (14.956) 0.603 0.375 1.047 1.252
S-TAR(2, 200) 0.184** (8.175) -0.249** (-11.562) 0.433** (17.095) 0.640 0.361 0.645 0.818 0.262** (7.807) -0.327** (-9.557) 0.588** (15.038) 0.606 0.372 1.050 1.247
S-TAR(5, 50) 0.112** (4.341) -0.091** (-5.126) 0.203** (8.198) 0.586 0.471 0.670 0.816 0.152** (4.258) -0.144** (-4.564) 0.296** (7.640) 0.559 0.449 1.093 1.240
S-TAR(5, 150) 0.155** (6.726) -0.210** (-9.808) 0.365** (14.321) 0.616 0.394 0.657 0.828 0.224** (6.588) -0.261** (-7.786) 0.485** (12.449) 0.587 0.403 1.087 1.225
S-TAR(5, 200) 0.166** (7.272) -0.228** (-10.571) 0.394** (15.455) 0.624 0.381 0.652 0.825 0.235** (6.935) -0.282** (-8.335) 0.516** (13.224) 0.591 0.395 1.102 1.201
Average 0.206** (9.052) -0.238** (-11.476) 0.444** (17.779) 0.651 0.371 0.646 0.791 0.234** (6.917) -0.279** (-8.263) 0.513** (13.146) 0.591 0.396 1.076 1.228
48
Table 7 (continued)
Buy t-stat Sell t-stat Buy- t-stat Buy > Sell SDB SDS Buy t-stat Sell t-stat Buy- t-stat Buy > Sell > SDB SDS
Sell 0 >0 Sell 0 0
SentimentECO
S-TAR(1, 50) 0.034 (0.043) 0.018 (-0.866) 0.017 (0.802) 0.547 0.526 0.546 0.663 0.059 (1.305) -0.039** (-2.469) 0.098** (3.243) 0.545 0.515 0.728 0.991
S-TAR(1, 150) 0.049 (0.933) 0.001* (-1.770) 0.048** (2.346) 0.548 0.525 0.561 0.638 0.058 (1.317) -0.025* (-1.948) 0.083** (2.815) 0.545 0.516 0.735 0.997
S-TAR(1, 200) 0.058 (1.529) -0.012** (-2.426) 0.070** (3.423) 0.559 0.506 0.567 0.629 0.074** (2.022) -0.054** (-3.009) 0.128** (4.344) 0.555 0.497 0.726 1.014
S-TAR(2, 50) 0.045 (0.669) 0.006 (-1.513) 0.039* (1.874) 0.553 0.523 0.572 0.636 0.035 (0.313) -0.012 (-1.467) 0.047 (1.542) 0.540 0.521 0.726 0.983
S-TAR(2, 150) 0.061 (1.658) -0.009** (-2.298) 0.070** (3.394) 0.561 0.513 0.553 0.647 0.075** (1.984) -0.032** (-2.279) 0.108** (3.644) 0.549 0.519 0.719 0.975
S-TAR(2, 200) 0.060 (1.615) -0.015** (-2.569) 0.074** (3.611) 0.562 0.501 0.554 0.655 0.072* (1.872) -0.035** (-2.355) 0.107** (3.621) 0.557 0.506 0.737 0.986
S-TAR(5, 50) 0.028 (-0.315) 0.028 (-0.320) 0.001 (0.025) 0.536 0.544 0.579 0.619 0.042 (0.598) -0.017 (-1.636) 0.059* (1.929) 0.547 0.513 0.763 0.954
S-TAR(5, 150) 0.051 (1.056) 0.002* (-1.745) 0.049** (2.416) 0.550 0.526 0.551 0.649 0.042 (0.623) 0.001 (-0.994) 0.041 (1.394) 0.543 0.522 0.759 0.954
S-TAR(5, 200) 0.041 (0.431) 0.014 (-1.052) 0.026 (1.295) 0.541 0.533 0.564 0.636 0.054 (1.109) -0.013 (-1.499) 0.066** (2.244) 0.551 0.510 0.747 0.978
Average 0.048 (0.847) 0.004 (-1.618) 0.044** (2.132) 0.551 0.522 0.561 0.641 0.057 (1.238) -0.025** (-1.962) 0.082** (2.753) 0.548 0.513 0.738 0.981
SentimentMARKET
S-TAR(1, 50) 0.051 (1.107) 0.007 (-1.463) 0.044** (2.226) 0.552 0.521 0.567 0.627 0.058 (1.315) -0.014 (-1.590) 0.072** (2.516) 0.534 0.527 0.841 0.878
S-TAR(1, 150) 0.079** (2.965) -0.074** (-5.277) 0.153** (7.144) 0.565 0.480 0.569 0.630 0.099** (3.182) -0.103** (-4.730) 0.202** (6.853) 0.560 0.479 0.813 0.920
S-TAR(1, 200) 0.084** (3.355) -0.102** (-6.437) 0.186** (8.491) 0.568 0.462 0.547 0.682 0.111** (3.720) -0.131** (-5.688) 0.242** (8.150) 0.565 0.466 0.801 0.936
S-TAR(2, 50) 0.059 (1.616) -0.006** (-2.165) 0.065** (3.275) 0.559 0.510 0.569 0.624 0.064 (1.582) -0.021* (-1.876) 0.085** (2.995) 0.548 0.509 0.814 0.909
S-TAR(2, 150) 0.069** (2.287) -0.042** (-3.804) 0.111** (5.278) 0.562 0.491 0.563 0.643 0.089** (2.668) -0.066** (-3.520) 0.155** (5.360) 0.560 0.488 0.816 0.909
S-TAR(2, 200) 0.073** (2.622) -0.062** (-4.682) 0.136** (6.331) 0.564 0.481 0.552 0.669 0.099** (3.144) -0.085** (-4.226) 0.185** (6.383) 0.570 0.471 0.814 0.911
S-TAR(5, 50) 0.048 (0.866) 0.014 (-1.085) 0.033* (1.690) 0.555 0.518 0.583 0.603 0.052 (1.045) -0.004 (-1.208) 0.055* (1.950) 0.541 0.519 0.825 0.896
S-TAR(5, 150) 0.064* (1.958) -0.021** (-2.888) 0.085** (4.197) 0.561 0.501 0.557 0.647 0.094** (2.850) -0.058** (-3.333) 0.152** (5.355) 0.565 0.489 0.800 0.919
S-TAR(5, 200) 0.071** (2.418) -0.042** (-3.864) 0.113** (5.443) 0.564 0.491 0.549 0.664 0.092** (2.795) -0.065** (-3.517) 0.157** (5.467) 0.565 0.484 0.800 0.926
Average 0.066** (2.133) -0.037** (-3.518) 0.103** (4.897) 0.561 0.495 0.562 0.643 0.084** (2.478) -0.061** (-3.299) 0.145** (5.003) 0.556 0.493 0.814 0.911
SentimentWORLD
S-TAR(1, 50) 0.121** (5.445) -0.092** (-6.952) 0.213** (10.737) 0.603 0.447 0.558 0.616 0.215** (8.079) -0.238** (-10.164) 0.453** (15.799) 0.631 0.390 0.770 0.904
S-TAR(1, 150) 0.152** (7.568) -0.174** (-10.977) 0.325** (16.063) 0.634 0.374 0.551 0.605 0.242** (9.405) -0.321** (-12.961) 0.563** (19.371) 0.648 0.343 0.747 0.910
S-TAR(1, 200) 0.157** (7.929) -0.196** (-11.981) 0.353** (17.246) 0.626 0.379 0.542 0.613 0.238** (9.263) -0.322** (-12.931) 0.560** (19.222) 0.644 0.345 0.750 0.909
S-TAR(2, 50) 0.110** (4.744) -0.073** (-5.924) 0.183** (9.240) 0.592 0.466 0.575 0.599 0.179** (6.531) -0.182** (-8.071) 0.362** (12.646) 0.617 0.413 0.766 0.930
S-TAR(2, 150) 0.146** (7.235) -0.169** (-10.665) 0.315** (15.504) 0.627 0.382 0.554 0.605 0.233** (9.020) -0.310** (-12.516) 0.543** (18.653) 0.647 0.342 0.742 0.925
S-TAR(2, 200) 0.151** (7.558) -0.186** (-11.439) 0.337** (16.455) 0.623 0.383 0.537 0.626 0.238** (9.270) -0.325** (-13.030) 0.564** (19.314) 0.645 0.341 0.754 0.903
S-TAR(5, 50) 0.083** (3.107) -0.037** (-3.931) 0.121** (6.095) 0.574 0.490 0.575 0.609 0.132** (4.463) -0.108** (-5.286) 0.240** (8.444) 0.582 0.466 0.779 0.932
S-TAR(5, 150) 0.132** (6.266) -0.134** (-8.929) 0.266** (13.161) 0.614 0.412 0.557 0.611 0.209** (7.956) -0.262** (-10.809) 0.471** (16.252) 0.626 0.381 0.757 0.925
S-TAR(5, 200) 0.138** (6.688) -0.156** (-9.973) 0.294** (14.431) 0.613 0.405 0.547 0.623 0.223** (8.599) -0.295** (-11.950) 0.518** (17.798) 0.636 0.359 0.768 0.900
Average 0.132** (6.282) -0.135** (-8.975) 0.267** (13.215) 0.612 0.415 0.555 0.612 0.212** (8.065) -0.263** (-10.858) 0.475** (16.389) 0.631 0.375 0.759 0.915
49
Table 7 (continued)
Sell 0 >0 Sell 0 0
SentimentECO
S-TAR(1, 50) 0.025 (0.072) 0.004 (-0.817) 0.020 (0.774) 0.515 0.519 0.714 0.819 0.051 (1.333) -0.030** (-2.049) 0.081** (2.892) 0.551 0.506 0.757 0.866
S-TAR(1, 150) 0.036 (0.601) -0.004 (-1.215) 0.040 (1.572) 0.522 0.514 0.667 0.846 0.056 (1.603) -0.029** (-2.077) 0.086** (3.163) 0.554 0.501 0.731 0.871
S-TAR(1, 200) 0.035 (0.549) 0.001 (-0.973) 0.034 (1.320) 0.527 0.512 0.685 0.833 0.059* (1.768) -0.043** (-2.536) 0.102** (3.713) 0.556 0.488 0.741 0.873
S-TAR(2, 50) 0.034 (0.489) -0.008 (-1.379) 0.042 (1.595) 0.525 0.506 0.712 0.815 0.058 (1.646) -0.036** (-2.288) 0.094** (3.354) 0.557 0.498 0.763 0.860
S-TAR(2, 150) 0.039 (0.743) -0.005 (-1.209) 0.044* (1.675) 0.538 0.499 0.697 0.823 0.058 (1.658) -0.032** (-2.167) 0.090** (3.280) 0.555 0.497 0.715 0.888
S-TAR(2, 200) 0.040 (0.805) 0.003 (-0.883) 0.037 (1.443) 0.540 0.497 0.706 0.811 0.062* (1.888) -0.046** (-2.658) 0.107** (3.913) 0.548 0.499 0.713 0.903
S-TAR(5, 50) 0.024 (0.063) 0.004 (-0.831) 0.021 (0.777) 0.526 0.508 0.749 0.783 0.045 (1.092) -0.023* (-1.782) 0.068** (2.461) 0.547 0.505 0.752 0.861
S-TAR(5, 150) 0.047 (1.107) -0.009 (-1.451) 0.056** (2.191) 0.540 0.497 0.729 0.780 0.052 (1.414) -0.028** (-1.999) 0.080** (2.933) 0.551 0.501 0.750 0.851
S-TAR(5, 200) 0.023 (-0.016) 0.023 (0.007) -0.001 (-0.020) 0.531 0.513 0.726 0.782 0.060* (1.815) -0.035** (-2.263) 0.095** (3.506) 0.558 0.491 0.743 0.859
Average 0.034 (0.490) 0.001 (-0.972) 0.033 (1.259) 0.529 0.507 0.709 0.810 0.056 (1.580) -0.033** (-2.202) 0.089** (3.246) 0.553 0.498 0.741 0.870
SentimentMARKET
S-TAR(1, 50) 0.059* (1.758) -0.024** (-2.090) 0.083** (3.333) 0.532 0.510 0.744 0.762 0.051 (1.448) -0.025* (-1.875) 0.077** (2.878) 0.556 0.491 0.769 0.828
S-TAR(1, 150) 0.085** (3.084) -0.082** (-4.388) 0.166** (6.472) 0.552 0.471 0.702 0.822 0.088** (3.244) -0.112** (-5.075) 0.199** (7.207) 0.568 0.455 0.730 0.894
S-TAR(1, 200) 0.084** (3.114) -0.094** (-4.783) 0.179** (6.841) 0.553 0.463 0.708 0.820 0.088** (3.262) -0.120** (-5.319) 0.208** (7.434) 0.569 0.447 0.731 0.896
S-TAR(2, 50) 0.059* (1.758) -0.024** (-2.090) 0.083** (3.333) 0.532 0.510 0.744 0.762 0.039 (0.875) -0.006 (-1.105) 0.046* (1.715) 0.550 0.500 0.757 0.844
S-TAR(2, 150) 0.085** (3.084) -0.082** (-4.388) 0.166** (6.472) 0.552 0.471 0.702 0.822 0.077** (2.736) -0.087** (-4.176) 0.165** (5.988) 0.563 0.466 0.729 0.896
S-TAR(2, 200) 0.084** (3.114) -0.094** (-4.783) 0.179** (6.841) 0.553 0.463 0.708 0.820 0.082** (2.967) -0.108** (-4.853) 0.190** (6.775) 0.565 0.454 0.729 0.904
S-TAR(5, 50) 0.033 (0.500) 0.010 (-0.582) 0.023 (0.937) 0.522 0.523 0.689 0.826 0.039 (0.855) -0.003 (-0.984) 0.042 (1.592) 0.545 0.510 0.776 0.815
S-TAR(5, 150) 0.057* (1.699) -0.028** (-2.222) 0.086** (3.396) 0.543 0.491 0.705 0.817 0.091** (3.316) -0.093** (-4.556) 0.183** (6.818) 0.568 0.467 0.727 0.881
S-TAR(5, 200) 0.070** (2.311) -0.050** (-3.111) 0.119** (4.696) 0.554 0.473 0.712 0.808 0.081** (2.871) -0.077** (-3.919) 0.158** (5.881) 0.567 0.470 0.707 0.908
Average 0.069** (2.269) -0.052** (-3.160) 0.121** (4.702) 0.544 0.486 0.713 0.807 0.071** (2.397) -0.070** (-3.540) 0.141** (5.143) 0.561 0.473 0.740 0.874
SentimentWORLD
S-TAR(1, 50) 0.142** (5.787) -0.137** (-7.042) 0.279** (11.110) 0.592 0.429 0.698 0.793 0.155** (6.188) -0.156** (-7.426) 0.311** (11.790) 0.599 0.439 0.731 0.839
S-TAR(1, 150) 0.182** (7.905) -0.225** (-10.602) 0.407** (16.029) 0.624 0.365 0.695 0.773 0.215** (9.025) -0.252** (-11.303) 0.467** (17.605) 0.638 0.378 0.722 0.811
S-TAR(1, 200) 0.187** (8.143) -0.240** (-11.154) 0.426** (16.712) 0.621 0.364 0.699 0.763 0.228** (9.579) -0.262** (-11.778) 0.490** (18.496) 0.642 0.376 0.701 0.826
S-TAR(2, 50) 0.115** (4.462) -0.098** (-5.371) 0.213** (8.516) 0.581 0.444 0.710 0.790 0.143** (5.637) -0.138** (-6.681) 0.281** (10.667) 0.597 0.443 0.724 0.851
S-TAR(2, 150) 0.171** (7.314) -0.203** (-9.701) 0.374** (14.736) 0.613 0.383 0.706 0.766 0.206** (8.638) -0.247** (-11.021) 0.453** (17.026) 0.638 0.374 0.720 0.819
S-TAR(2, 200) 0.176** (7.616) -0.222** (-10.424) 0.398** (15.624) 0.615 0.373 0.700 0.770 0.221** (9.318) -0.267** (-11.852) 0.487** (18.334) 0.636 0.376 0.693 0.842
S-TAR(5, 50) 0.069** (2.197) -0.032** (-2.473) 0.101** (4.044) 0.542 0.499 0.721 0.786 0.112** (4.188) -0.094** (-4.866) 0.206** (7.841) 0.583 0.463 0.745 0.839
S-TAR(5, 150) 0.152** (6.340) -0.161** (-8.012) 0.313** (12.430) 0.605 0.404 0.700 0.787 0.177** (7.292) -0.209** (-9.415) 0.385** (14.469) 0.618 0.400 0.727 0.833
S-TAR(5, 200) 0.158** (6.677) -0.183** (-8.835) 0.341** (13.434) 0.604 0.398 0.708 0.772 0.188** (7.844) -0.232** (-10.303) 0.420** (15.717) 0.625 0.386 0.705 0.853
Average 0.150** (6.271) -0.167** (-8.179) 0.317** (12.515) 0.600 0.406 0.704 0.778 0.183** (7.523) -0.206** (-9.405) 0.389** (14.660) 0.619 0.404 0.719 0.835
50
Table 7 (continued)
Sell 0 >0 Sell 0 0
SentimentECO
S-TAR(1, 50) 0.069 (0.890) -0.006 (-1.527) 0.075** (2.064) 0.531 0.509 0.968 1.178 0.122** (3.634) -0.108** (-4.112) 0.230** (6.582) 0.545 0.461 0.948 1.056
S-TAR(1, 150) 0.085 (1.454) -0.016* (-1.875) 0.101** (2.861) 0.542 0.501 0.922 1.179 0.115** (3.409) -0.093** (-3.748) 0.208** (6.139) 0.548 0.451 0.958 1.027
S-TAR(1, 200) 0.093* (1.762) -0.035** (-2.462) 0.128** (3.647) 0.542 0.495 0.925 1.177 0.116** (3.572) -0.115** (-4.377) 0.231** (6.845) 0.543 0.446 0.947 1.044
S-TAR(2, 50) 0.081 (1.278) -0.020** (-1.964) 0.101** (2.759) 0.536 0.503 1.040 1.116 0.106** (3.051) -0.089** (-3.523) 0.195** (5.581) 0.543 0.463 0.987 1.020
S-TAR(2, 150) 0.071 (0.987) -0.001 (-1.351) 0.072** (2.001) 0.533 0.508 0.911 1.214 0.112** (3.350) -0.098** (-3.871) 0.210** (6.187) 0.545 0.450 0.995 0.995
S-TAR(2, 200) 0.081 (1.350) -0.021** (-1.967) 0.102** (2.854) 0.535 0.502 0.929 1.198 0.110** (3.338) -0.096** (-3.770) 0.207** (6.105) 0.545 0.449 0.954 1.044
S-TAR(5, 50) 0.058 (0.533) 0.005 (-1.162) 0.053 (1.449) 0.524 0.518 1.082 1.066 0.062 (1.584) -0.037* (-1.753) 0.099** (2.830) 0.532 0.477 1.024 0.995
S-TAR(5, 150) 0.093* (1.701) -0.025** (-2.131) 0.118** (3.276) 0.538 0.503 0.981 1.141 0.085** (2.423) -0.076** (-3.101) 0.161** (4.739) 0.528 0.466 0.996 0.995
S-TAR(5, 200) 0.083** (1.409) -0.019* (-1.899) 0.102** (2.840) 0.534 0.505 0.977 1.142 0.105** (3.157) -0.096** (-3.782) 0.201** (5.969) 0.531 0.462 0.989 1.005
Average 0.079** (1.263) -0.016* (-1.815) 0.095** (2.639) 0.535 0.505 0.971 1.157 0.104** (3.057) -0.090** (-3.560) 0.194** (5.664) 0.540 0.458 0.978 1.020
SentimentMARKET
S-TAR(1, 50) 0.104** (2.259) -0.059** (-3.111) 0.164** (4.651) 0.539 0.500 1.007 1.084 0.114** (3.584) -0.105** (-4.083) 0.219** (6.640) 0.544 0.446 0.954 1.037
S-TAR(1, 150) 0.130** (3.244) -0.123** (-4.902) 0.254** (7.056) 0.554 0.469 0.988 1.113 0.146** (4.767) -0.156** (-5.721) 0.301** (9.083) 0.546 0.439 0.941 1.044
S-TAR(1, 200) 0.142** (3.648) -0.138** (-5.378) 0.279** (7.818) 0.560 0.459 0.997 1.091 0.131** (4.303) -0.152** (-5.490) 0.283** (8.482) 0.554 0.422 0.941 1.053
S-TAR(2, 50) 0.098** (2.010) -0.042** (-2.613) 0.140** (4.004) 0.535 0.508 1.011 1.077 0.080** (2.322) -0.060** (-2.586) 0.140** (4.250) 0.534 0.460 0.997 0.995
S-TAR(2, 150) 0.118** (2.788) -0.099** (-4.197) 0.217** (6.050) 0.549 0.478 0.973 1.141 0.127** (4.104) -0.134** (-4.965) 0.261** (7.855) 0.555 0.427 0.962 1.026
S-TAR(2, 200) 0.125** (3.061) -0.113** (-4.607) 0.238** (6.642) 0.554 0.468 0.991 1.109 0.123** (3.950) -0.125** (-4.705) 0.249** (7.496) 0.551 0.433 0.963 1.026
S-TAR(5, 50) 0.089 (1.647) -0.019** (-1.962) 0.108** (3.126) 0.536 0.508 0.962 1.131 0.085** (2.479) -0.059** (-2.585) 0.144** (4.385) 0.542 0.455 0.963 1.029
S-TAR(5, 150) 0.123** (2.919) -0.081** (-3.837) 0.205** (5.851) 0.548 0.488 1.011 1.071 0.102** (3.141) -0.090** (-3.584) 0.192** (5.825) 0.539 0.452 0.978 1.012
S-TAR(5, 200) 0.107** (2.342) -0.056** (-3.069) 0.164** (4.686) 0.551 0.484 1.012 1.074 0.094** (2.834) -0.078** (-3.182) 0.172** (5.210) 0.544 0.447 1.004 0.983
Average 0.115** (2.658) -0.081** (-3.742) 0.197** (5.543) 0.547 0.485 0.995 1.099 0.111** (3.498) -0.107** (-4.100) 0.218** (6.581) 0.545 0.442 0.967 1.023
SentimentWORLD
S-TAR(1, 50) 0.189** (5.158) -0.151** (-6.190) 0.340** (9.827) 0.577 0.454 0.977 1.088 0.204** (6.791) -0.205** (-7.532) 0.409** (12.405) 0.584 0.401 0.926 1.034
S-TAR(1, 150) 0.228** (6.635) -0.233** (-8.599) 0.461** (13.194) 0.606 0.404 0.980 1.065 0.227** (7.978) -0.338** (-11.231) 0.565** (16.638) 0.595 0.341 0.922 1.020
S-TAR(1, 200) 0.243** (7.198) -0.264** (-9.518) 0.507** (14.477) 0.610 0.393 0.956 1.087 0.240** (8.506) -0.374** (-12.252) 0.613** (17.980) 0.599 0.328 0.871 1.081
S-TAR(2, 50) 0.169** (4.508) -0.135** (-5.605) 0.304** (8.758) 0.574 0.455 0.972 1.104 0.179** (5.895) -0.177** (-6.576) 0.356** (10.800) 0.578 0.407 0.948 1.021
S-TAR(2, 150) 0.212** (6.083) -0.215** (-7.995) 0.426** (12.192) 0.599 0.412 0.982 1.073 0.223** (7.749) -0.303** (-10.293) 0.525** (15.626) 0.595 0.354 0.938 1.003
S-TAR(2, 200) 0.234** (6.879) -0.249** (-9.063) 0.483** (13.807) 0.606 0.401 0.951 1.100 0.227** (7.945) -0.321** (-10.810) 0.548** (16.244) 0.600 0.340 0.893 1.063
S-TAR(5, 50) 0.153** (3.873) -0.098** (-4.514) 0.250** (7.264) 0.562 0.477 0.999 1.074 0.129** (4.098) -0.117** (-4.538) 0.247** (7.479) 0.557 0.433 1.007 0.971
S-TAR(5, 150) 0.197** (5.538) -0.191** (-7.258) 0.387** (11.082) 0.587 0.429 0.966 1.103 0.185** (6.329) -0.239** (-8.276) 0.424** (12.649) 0.581 0.378 0.939 1.029
S-TAR(5, 200) 0.212** (6.069) -0.212** (-7.929) 0.424** (12.123) 0.595 0.418 0.947 1.119 0.203** (7.029) -0.283** (-9.585) 0.486** (14.390) 0.590 0.355 0.909 1.059
Average 0.204** (5.771) -0.194** (-7.408) 0.398** (11.414) 0.591 0.427 0.970 1.090 0.202** (6.925) -0.262** (-9.011) 0.464** (13.801) 0.587 0.371 0.928 1.031
51
Table 7 (continued)
SentimentECO
S-TAR(1, 50) 0.052 (1.424) -0.029** (-2.095) 0.081** (3.001) 0.545 0.514 0.698 0.829 0.014 (1.021) -0.079 (-1.375) 0.094** (2.028) 0.500 0.459 1.284 1.363
S-TAR(1, 150) 0.048 (1.290) -0.018* (-1.670) 0.066** (2.545) 0.547 0.508 0.679 0.851 0.023 (1.223) -0.072 (-1.230) 0.094** (2.095) 0.492 0.466 1.326 1.336
S-TAR(1, 200) 0.049 (1.329) -0.022* (-1.840) 0.071** (2.734) 0.540 0.515 0.684 0.849 0.021 (1.186) -0.067 (1.117) 0.088** (1.977) 0.497 0.460 1.310 1.336
S-TAR(2, 50) 0.039 (0.846) -0.012 (-1.380) 0.051* (1.901) 0.548 0.509 0.713 0.817 -0.047 (-0.509) -0.020 (0.173) -0.027 (-0.580) 0.487 0.476 1.314 1.337
S-TAR(2, 150) 0.046 (1.198) -0.014 (-1.468) 0.060** (2.282) 0.541 0.517 0.693 0.838 0.025 (1.302) -0.086 (-1.568) 0.110** (2.446) 0.499 0.457 1.343 1.322
S-TAR(2, 200) 0.056* (1.670) -0.022* (-1.829) 0.079** (2.994) 0.546 0.514 0.680 0.850 0.022 (1.240) -0.067 (-1.090) 0.089** (2.000) 0.493 0.466 1.327 1.313
S-TAR(5, 50) 0.011 (-0.409) 0.015 (-0.228) -0.004 (-0.142) 0.527 0.529 0.760 0.776 -0.023 (0.097) -0.033 (-0.174) 0.011 (0.230) 0.494 0.471 1.286 1.357
S-TAR(5, 150) 0.041 (0.942) -0.010 (-1.311) 0.051* (1.936) 0.534 0.523 0.701 0.827 0.030 (1.449) -0.086 (-1.577) 0.116** (2.592) 0.496 0.461 1.294 1.356
S-TAR(5, 200) 0.042 (1.011) -0.011 (-1.355) 0.053** (2.040) 0.533 0.524 0.688 0.843 0.010 (0.943) -0.067 (-1.082) 0.077* (1.738) 0.494 0.461 1.329 1.314
Average 0.043 (1.034) -0.014 (-1.464) 0.056** (2.144) 0.540 0.517 0.700 0.831 0.008 (0.883) -0.064 (-1.005) 0.072 (1.614) 0.495 0.464 1.312 1.337
SentimentMARKET
S-TAR(1, 50) 0.065** (2.131) -0.039** (-2.580) 0.104** (4.081) 0.546 0.508 0.735 0.808 0.055** (2.181) -0.112** (-2.254) 0.166** (3.841) 0.499 0.452 1.223 1.399
S-TAR(1, 150) 0.080** (2.989) -0.091** (-4.475) 0.171** (6.465) 0.556 0.481 0.711 0.853 0.061** (2.320) -0.113** (-2.317) 0.174** (4.016) 0.503 0.450 1.269 1.352
S-TAR(1, 200) 0.091** (3.545) -0.121** (-5.588) 0.212** (7.912) 0.564 0.461 0.715 0.848 0.067** (2.495) -0.120** (-2.489) 0.187** (4.316) 0.500 0.453 1.281 1.340
S-TAR(2, 50) 0.062* (1.958) -0.031** (-2.239) 0.092** (3.635) 0.549 0.506 0.709 0.834 0.006 (0.859) -0.058 (-0.852) 0.064 (1.481) 0.489 0.463 1.290 1.337
S-TAR(2, 150) 0.074** (2.663) -0.078** (-3.956) 0.152** (5.733) 0.556 0.481 0.708 0.860 0.063** (2.363) -0.110** (-2.247) 0.173** (3.992) 0.495 0.459 1.268 1.351
S-TAR(2, 200) 0.078** (2.854) -0.083** (-4.180) 0.161** (6.093) 0.563 0.469 0.708 0.856 0.056** (2.173) -0.101** (-2.030) 0.158** (3.641) 0.503 0.451 1.259 1.358
S-TAR(5, 50) 0.030 (0.458) 0.008 (-0.528) 0.022 (0.854) 0.537 0.520 0.750 0.791 -0.021 (0.155) -0.032 (-0.153) 0.012 (0.266) 0.489 0.464 1.274 1.353
S-TAR(5, 150) 0.057* (1.790) -0.039** (-2.454) 0.096** (3.676) 0.551 0.496 0.738 0.812 0.055** (2.161) -0.105** (-2.116) 0.160** (3.703) 0.502 0.451 1.287 1.336
S-TAR(5, 200) 0.054 (1.623) -0.032** (-2.177) 0.085** (3.291) 0.546 0.505 0.740 0.809 0.052** (2.108) -0.106** (-2.119) 0.158** (3.661) 0.500 0.452 1.272 1.351
Average 0.066** (2.223) -0.056** (-3.131) 0.122** (4.638) 0.552 0.492 0.724 0.830 0.044* (1.868) -0.095* (-1.842) 0.139** (3.213) 0.498 0.455 1.269 1.353
SentimentWORLD
S-TAR(1, 50) 0.184** (7.866) -0.213** (-9.954) 0.397** (15.432) 0.633 0.382 0.736 0.754 0.144** (4.581) -0.205** (-4.719) 0.349** (8.054) 0.542 0.408 1.233 1.372
S-TAR(1, 150) 0.225** (10.016) -0.310** (-13.740) 0.536** (20.575) 0.657 0.325 0.683 0.784 0.204** (6.383) -0.319** (-7.478) 0.523** (12.004) 0.560 0.370 1.171 1.423
S-TAR(1, 200) 0.220** (9.773) -0.308** (-13.571) 0.528** (20.219) 0.652 0.329 0.689 0.780 0.225** (6.922) -0.334** (-7.910) 0.559** (12.845) 0.563 0.370 1.187 1.394
S-TAR(2, 50) 0.157** (6.546) -0.171** (-8.186) 0.328** (12.758) 0.624 0.398 0.735 0.774 0.134** (4.276) -0.186** (-4.267) 0.320** (7.399) 0.532 0.420 1.275 1.333
S-TAR(2, 150) 0.211** (9.295) -0.277** (-12.439) 0.488** (18.824) 0.653 0.338 0.685 0.797 0.184** (5.745) -0.267** (-6.270) 0.451** (10.405) 0.560 0.381 1.211 1.384
S-TAR(2, 200) 0.226** (10.005) -0.305** (-13.562) 0.530** (20.411) 0.659 0.325 0.680 0.789 0.196** (6.087) -0.285** (-6.717) 0.481** (11.088) 0.559 0.381 1.192 1.400
S-TAR(5, 50) 0.129** (5.126) -0.113** (-5.853) 0.242** (9.508) 0.599 0.444 0.726 0.798 0.047** (1.973) -0.101** (-1.988) 0.148** (3.430) 0.500 0.452 1.298 1.326
S-TAR(5, 150) 0.195** (8.449) -0.244** (-11.147) 0.439** (16.972) 0.639 0.364 0.686 0.811 0.124** (4.086) -0.192** (-4.342) 0.316** (7.298) 0.531 0.416 1.302 1.308
S-TAR(5, 200) 0.209** (9.182) -0.276** (-12.380) 0.485** (18.674) 0.648 0.344 0.681 0.805 0.174** (5.440) -0.248** (-5.806) 0.422** (9.739) 0.544 0.401 1.236 1.361
Average 0.195** (8.473) -0.246** (-11.204) 0.441** (17.041) 0.640 0.361 0.700 0.788 0.159** (5.055) -0.237** (-5.500) 0.397** (9.140) 0.543 0.400 1.234 1.367
52
Table 7 (continued)
Panel K: TIN
SentimentECO
S-TAR(1, 50) -0.007 (-0.315) -0.007 (-0.335) -0.001 (-0.005) 0.316 0.308 2.630 2.989
S-TAR(1, 150) 0.030 (0.117) -0.022 (-0.529) 0.053 (0.546) 0.327 0.303 2.459 3.019
S-TAR(1, 200) 0.053 (0.387) -0.046 (-0.830) 0.099 (1.034) 0.335 0.294 2.301 3.136
S-TAR(2, 50) 0.058 (0.417) -0.056 (-0.942) 0.114 (1.113) 0.315 0.308 2.489 3.104
S-TAR(2, 150) 0.051 (0.368) -0.034 (-0.662) 0.086 (0.872) 0.327 0.295 2.397 3.109
S-TAR(2, 200) 0.110 (1.073) -0.096 (-1.429) 0.206** (2.124) 0.340 0.286 2.340 3.131
S-TAR(5, 50) 0.028 (0.085) -0.053 (-0.872) 0.081 (0.762) 0.335 0.299 3.257 2.650
S-TAR(5, 150) 0.079 (0.696) -0.082 (-1.249) 0.161 (1.641) 0.331 0.296 2.323 3.126
S-TAR(5, 200) 0.101 (0.967) -0.105 (-1.551) 0.206** (2.134) 0.334 0.298 2.556 2.948
Average 0.056 (0.422) -0.056 (-0.933) 0.112 (1.136) 0.329 0.299 2.528 3.023
SentimentMARKET
S-TAR(1, 50) 0.021 (0.006) 0.008 (-0.153) 0.013 (0.133) 0.355 0.303 2.628 2.983
S-TAR(1, 150) 0.046 (0.330) -0.018 (-0.469) 0.065 (0.689) 0.344 0.291 2.363 3.178
S-TAR(1, 200) 0.120 (1.269) -0.108 (-1.537) 0.227** (2.411) 0.345 0.292 2.523 3.044
S-TAR(2, 50) 0.049 (0.350) -0.028 (-0.591) 0.077 (0.799) 0.349 0.309 2.624 3.034
S-TAR(2, 150) 0.093 (0.914) -0.063 (-1.033) 0.157* (1.674) 0.348 0.292 2.534 2.985
S-TAR(2, 200) 0.101 (1.026) -0.080 (-1.219) 0.182* (1.929) 0.346 0.293 2.503 3.055
S-TAR(5, 50) 0.127 (1.265) -0.097 (-1.414) 0.224** (2.260) 0.355 0.316 2.740 3.025
S-TAR(5, 150) 0.119 (1.227) -0.091 (-1.387) 0.210** (2.245) 0.351 0.290 2.550 2.972
S-TAR(5, 200) 0.141 (1.499) -0.118* (-1.702) 0.259** (2.745) 0.363 0.277 2.312 3.193
Average 0.091 (0.876) -0.066 (-1.056) 0.157 (1.654) 0.351 0.296 2.531 3.052
SentimentWORLD
S-TAR(1, 50) 0.126 (1.250) -0.088 (-1.370) 0.214** (2.227) 0.354 0.306 2.777 2.851
S-TAR(1, 150) 0.166* (1.859) -0.151** (-2.110) 0.317** (3.426) 0.358 0.268 2.967 2.444
S-TAR(1, 200) 0.179** (2.031) -0.147** (-2.064) 0.326** (3.538) 0.361 0.258 2.728 2.825
S-TAR(2, 50) 0.129 (1.286) -0.088 (-1.356) 0.217** (2.244) 0.354 0.310 2.559 3.045
S-TAR(2, 150) 0.160* (1.754) -0.130* (-1.882) 0.290** (3.136) 0.347 0.284 2.931 2.518
S-TAR(2, 200) 0.211** (2.386) -0.157** (-2.241) 0.368** (3.999) 0.356 0.270 2.620 2.918
S-TAR(5, 50) 0.127 (1.265) -0.097 (-1.414) 0.224** (2.260) 0.355 0.316 2.740 3.025
S-TAR(5, 150) 0.169* (1.853) -0.134* (-1.944) 0.303** (3.274) 0.348 0.283 2.532 2.916
S-TAR(5, 200) 0.176* (1.949) -0.128* (-1.864) 0.303** (3.292) 0.353 0.274 2.643 2.915
Average 0.160* (1.737) -0.124* (-1.805) 0.285** (3.044) 0.354 0.286 2.722 2.828
Note: S-TAR refers to Sentiment-TAR. The returns in column Buy, Sell and Buy-Sell, and the standard deviations ((Buy) and (Sell)) have been multiplied by a factor of 102. ** and * denote significant
at 5% and 10% significant level respectively.
53
54
Table 8
The in- and out-of-sample results for the best performing Sentiment-TAR and technical trading
rules
In-sample Out-of-sample
Rule Best Rules Buy-Sell t-statistic Buy-Sell t-statistic
Panel A: FBMKLCI
SentimentECO-TAR (2,150) 0.0017** (4.7850) 0.0000 (0.0204)
(1,50) 0.0015** (4.2460) -0.0002 (-0.4979)
(5,150) 0.0015** (4.2822) -0.0002 (-0.7847)
SentimentMARKET-TAR (2,200) 0.0014** (3.9930) -0.0002 (-0.6522)
(1,150) 0.0011** (3.2696) -0.0003 (-0.7928)
(2,150) 0.0011** (3.1271) -0.0001 (-0.4132)
SentimentWORLD-TAR (1,150) 0.0078** 23.5483) 0.0048** (14.9829)
(1,200) 0.0077** (22.9931) 0.0050** (15.5558)
(1,50) 0.0063** (19.0748) 0.0039** (12.1576)
VMA (1,20,0.01) 0.0021** (4.7918) 0.0000 (0.0814)
(2,20,0.01) 0.0017** (3.9272) -0.0001 (-0.1190)
(1,20,0) 0.0150** (4.4243) 0.0003 (1.0044)
FMA (2,50,0.01) 0.0110** (2.6168) -0.0005 (-0.1151)
(1,50,0.01) 0.0108** (2.5917) -0.0004 (-0.0918)
(2,50,0) 0.0093** (2.2181) -0.0023 (-0.5138)
TRB (50,0.01) 0.0238** (2.7169) -0.0179 (-0.9368)
(50,0) 0.0169** (2.6508) 0.0004 (0.0533)
(150,0) 0.0147 (1.5866) 0.0158 (1.1784)
Panel B: CON
SentimentECO-TAR (1,50) 0.0012** (2.9201) 0.0019** (3.2386)
(1,150) 0.0010** (2.4235) 0.0018** (3.1943)
(1,200) 0.0009** (2.2526) 0.0015** (2.6702)
SentimentMARKET-TAR (1,150) 0.0023** (5.7714) 0.0025** (4.5401)
(1,200) 0.0021** (5.2040) 0.0023** (4.1883)
(2,200) 0.0019** (4.7891) 0.0020** (3.6671)
SentimentWORLD-TAR (1,200) 0.0065** (16.5160) 0.0081** (14.9399)
(1,150) 0.0066** (16.9378) 0.0078** (14.4908)
(2,200) 0.0059** (15.0378) 0.0071** (13.3037)
VMA (1,20,0.01) 0.0027** (4.2694) 0.0011* (1.7983)
(2,20,0.01) 0.0024** (3.7411) 0.0008 (1.2953)
(1,50,0.01) 0.0021** (3.6127) 0.0000 (0.0519)
FMA (2,200,0.01) 0.0187** (2.8360) 0.0052 (0.8805)
(2,50,0.01) 0.0178** (2.7153) 0.0049 (0.8267)
(1,200,0.01) 0.0162** (2.4621) 0.0020 (0.3336)
TRB (150,0) 0.0302** (2.4020) 0.0120 (0.7567)
(200,0) 0.0299** (2.3018) 0.0017 (0.0893)
(150,0.01) 0.0254 (1.5901) 0.0185 (0.6964)
Panel C: COP
(1,200) 0.0007** (2.6001) 0.0007** (2.3445)
(2,200) 0.0007** (2.4313) 0.0009** (3.1152)
(1,150) 0.0014** (4.8495) 0.0018** (5.9747)
(5,200) 0.0011** (3.8853) 0.0013** (4.1974)
(2,200) 0.0038** (14.0035) 0.0026** (8.6811)
(1,150) 0.0036** (13.6271) 0.0025** (8.5406)
VMA (1,20,0.01) 0.0013** (3.4896) 0.0010** (2.1706)
(2,20,0.01) 0.0012** (3.1361) 0.0010** (2.1603)
(1,20,0) 0.0011** (4.2496) 0.0007** (2.2512)
FMA (1,50,0.01) 0.0065* (1.9165) -0.0082 (-1.0151)
(2,50,0.01) 0.0064* (1.8758) -0.0049 (-0.6082)
(5,50,0.01) 0.0061** (1.9784) 0.0026 (0.3825)
TRB (150,0) 0.0096 (1.2824) -0.0087 (-0.4773)
(50,0) 0.0077 (1.6016) -0.0032 (-0.2815)
(200,0) 0.0055 (0.6310) -0.0113 (-0.5587)
55
Table 8 (continued…)
Panel D: FIN
(2,200) 0.0015** (3.6886) 0.0002 (0.5857)
(2,150) 0.0015** (3.6324) 0.0003 (0.8295)
(1,150) 0.0024** (5.8472) 0.0013** (3.6904)
(2,200) 0.0019** (4.7932) 0.0018** (5.0647)
(1,150) 0.0065** (16.4612) 0.0038** (10.8074)
(1,200) 0.0065** (16.3754) 0.0038** (10.6343)
VMA (1,20,0.01) 0.0018** (3.7624) 0.0004 (0.8598)
(2,20,0.01) 0.0017** (3.4381) -0.0001 (-0.2632)
(1,20,0) 0.0017** (4.2490) -0.0001 (-0.2362)
FMA (1,50,0.01) 0.0147** (3.0439) 0.0039 (0.9266)
(2,50,0.01) 0.0143** (2.9645) 0.0038 (0.9014)
(1,150,0.01) 0.0142** (2.8444) 0.0035 (0.7413)
TRB (150,0) 0.0273** (2.5183) 0.0120 (1.1139)
(200,0) 0.0249** (2.0608) 0.0286** (2.1855)
(50,0.01) 0.0211** (2.1972) -0.0022 (-0.1586)
Panel E: IND
SentimentECO-TAR (5,150) 0.0009** (2.5748) 0.0000 (-0.0506)
(2,150) 0.0006* (1.6952) 0.0002 (0.4120)
(1,150) 0.0005 (1.4543) 0.0002 (0.5938)
(2,150) 0.0017** (5.1135) 0.0016** (4.0619)
(1,200) 0.0017** (4.9579) 0.0020** (5.0519)
(1,150) 0.0047** (13.8995) 0.0031** (8.0975)
(2,200) 0.0043** (12.8720) 0.0034** (9.0484)
VMA (1,20,0.01) 0.0011** (2.4426) -0.0002 (-0.3744)
(1,20,0) 0.0010** (3.0823) -0.0001 (-0.1417)
(2,50,0.01) 0.0009** (2.4400) -0.0007 (-1.5269)
FMA (1,50,0.01) 0.0069* (1.8316) -0.0042 (-0.7765)
(5,50,0.01) 0.0066* (1.7359) -0.0032 (-0.5981)
(1,50,0) 0.0066 (1.6635) -0.0048 (-0.8130)
TRB (50,0.01) 0.0126 (1.4816) -0.0096 (-0.5175)
(50,0) 0.0122** (2.1347) -0.0081 (-0.9440)
(200,0) 0.0107 (1.2178) -0.0316 (-1.7020)
Panel F: INP
(1,50) 0.0013** (3.6060) -0.0001 (-0.3633)
(2,200) 0.0013** (3.5481) 0.0007* (1.7146)
(1,150) 0.0021** (5.9619) 0.0017** (4.0831)
(2,200) 0.0020** (5.6733) 0.0016** (3.7094)
(2,200) 0.0058** (16.7000) 0.0030** (7.7396)
(1,150) 0.0057** (16.3958) 0.0027** (6.9774)
VMA (1,20,0.01) 0.0023** (5.3232) 0.0005 (0.8051)
(2,20,0.01) 0.0023** (5.2415) 0.0002 (0.3390)
(5,20,0.01) 0.0019** (4.0605) 0.0003 (0.4059)
FMA (1,50,0.01) 0.0135** (3.0505) 0.0028 (0.3601)
(2,50,0.01) 0.0131** (2.9667) 0.0027 (0.3437)
(5,50,0.01) 0.0100** (2.2596) -0.0005 (-0.0578)
TRB (200,0.01) 0.0454** (3.0239) -0.0060 (-0.1837)
(150,0.01) 0.0385** (2.9490) 0.0092 (0.2799)
(50,0.01) 0.0329** (3.3673) 0.0055 (0.2639)
56
Panel G: PLN
SentimentECO-TAR (5,150) 0.0019** (3.6793) -0.0002 (-0.4090)
(1,200) 0.0019** (3.6705) 0.0001 (0.1761)
(5,200) 0.0016** (3.1829) -0.0002 (-0.5870)
(2,200) 0.0030** (5.9474) 0.0011** (2.8362)
(1,150) 0.0030** (5.7562) 0.0016** (4.2075)
(2,200) 0.0060** (12.0901) 0.0026** (6.8347)
(1,150) 0.0057** (11.6246) 0.0024** (6.3245)
VMA (1,20,0.01) 0.0028** (4.6520) 0.0006 (1.1969)
(2,20,0.01) 0.0025** (4.1599) 0.0004 (0.6993)
(2,20,0) 0.0023** (4.6428) 0.0008** (1.9613)
FMA (5,150,0.01) 0.0148** (2.4465) -0.0001 (n. a.)
(2,50,0.01) 0.0145** (2.3883) 0.0002 (n. a.)
(1,50,0.01) 0.0143** (2.1007) 0.0001 (n. a. )
TRB (200,0) 0.0601** (3.5048) 0.0068 (n. a.)
(200,0.01) 0.0562** (2.9974) -0.0050 (n. a.)
(150,0) 0.0462** (3.1108) -0.0066 (n. a.)
Panel H: PRP
SentimentECO-TAR (1,50) 0.0030** (6.0927) 0.0012** (2.7591)
(1,200) 0.0028** (6.0503) 0.0015** (3.2902)
(1,150) 0.0028** (5.9886) 0.0008* (1.8730)
(1,200) 0.0031** (6.9105) 0.0025** (5.3029)
(2,150) 0.0028** (6.3602) 0.0022** (4.9233)
(1,150) 0.0067** (14.7774) 0.0035** (7.5763)
(2,200) 0.0064** (14.2103) 0.0036** (7.8601)
VMA (1,20,0.01) 0.0037** (7.1936) 0.0020** (3.5045)
(2,20,0.01) 0.0034** (6.5431) 0.0019** (3.3215)
(2,20,0) 0.0029** (6.6370) 0.0018** (3.9685)
FMA (5,150,0.01) 0.0238** (3.9936) 0.0085 (1.4318)
(2,150,0.01) 0.0226** (3.8124) 0.0089 (1.4954)
(1,200,0) 0.0201** (3.3731) 0.0040 (0.6723)
TRB (50,0) 0.0420** (4.6598) 0.0281** (2.9846)
(200,0.01) 0.0398** (2.8612) 0.0287 (1.4387)
(150,0) 0.0390** (3.6886) 0.0446** (2.6685)
Panel I: TAS
SentimentECO-TAR (2,150) 0.0013** (3.5352) -0.0006 (-1.8839)
(2,200) 0.0012** (3.3862) 0.0000 (-0.0847)
(1,200) 0.0012** (3.2676) -0.0001 (-0.4149)
(1,150) 0.0021** (5.7890) 0.0010** (2.8786)
(2,200) 0.0019** (5.4468) 0.0009** (2.7343)
(1,150) 0.0062** (17.4702) 0.0037** (11.2340)
(2,200) 0.0061** (17.3192) 0.0037** (11.1312)
VMA (1,20,0.01) 0.0020** (3.9550) 0.0006 (1.1614)
(2,20,0.01) 0.0016** (3.2589) 0.0004 (0.8263)
(1,20,0) 0.0014** (3.6122) 0.0003 (0.7635)
FMA (1,50,0.01) 0.0101** (2.4301) 0.0002 (0.0395)
(2,50,0.01) 0.0098** (2.3732) 0.0004 (0.0783)
(5,50,0.01) 0.0088** (2.1263) -0.0013 (-0.2276)
TRB (50,0.01) 0.0318** (3.5276) 0.0033 (0.1342)
(50,0) 0.0133** (2.1115) -0.0058 (-0.6370)
(150,0.01) 0.0114 (1.0235) 0.0146 (0.4142)
57
Panel J: TEC
(2,150) 0.0014** (2.4755) 0.0002 (0.3264)
(1,50) 0.0014** (2.3708) -0.0002 (-0.2815)
SentimentMARKET-TAR (1,200) 0.0023** (4.2026) 0.0008 (0.9938)
(2,200) 0.0020** (3.7101) 0.0005 (0.6113)
(2,150) 0.0017** (3.1972) 0.0014* (1.8217)
(1,150) 0.0062** (11.6483) 0.0032** (4.2043)
(2,200) 0.0058** (10.9316) 0.0027** (3.6006)
VMA (1,20,0.01) 0.0035** (5.1419) 0.0023** (2.6253)
(2,20,0.01) 0.0031** (4.4945) 0.0022** (2.4128)
(2,20,0) 0.0024** (4.0560) 0.0020** (2.6323)
FMA (5,150,0.01) 0.0163** (2.2385) -0.0003 (-0.0330)
(2,150,0) 0.0154** (2.0888) -0.0026 (-0.2398)
(2,50,0.01) 0.0151** (2.0918) 0.0014 (0.1354)
TRB (200,0.01) 0.0527** (2.8567) -0.0131 (-0.3826)
(150,0) 0.0480** (3.3457) -0.0122 (-0.6039)
(150,0.01) 0.0477** (2.9140) -0.0341 (-1.3836)
Panel K: TIN
SentimentECO-TAR (2,200) 0.0017 (1.2420) 0.0026** (2.4218)
(5,200) 0.0014 (1.0449) 0.0031** (2.8591)
(2,50) 0.0013 (0.8888) 0.0008 (0.7061)
SentimentMARKET-TAR (5,50) 0.0029** (2.1036) 0.0010 (0.8643)
(5,200) 0.0016 (1.2093) 0.0044** (4.0889)
(1,200) 0.0014 (1.0762) 0.0039** (3.6007)
(2,200) 0.0033** (2.6137) 0.0044** (4.0726)
(2,150) 0.0031** (2.3756) 0.0026** (2.4331)
VMA (5,150,0) 0.0019 (1.4687) -0.0008 (-0.7096)
(5,150,0.01) 0.0017 (1.2651) -0.0010 (-0.8919)
(1,150,0) 0.0016 (1.2696) -0.0030 (-2.8288)
FMA (1,150,0.01) 0.0208 (1.6205) -0.0036 (-0.3300)
(2,150,0) 0.0197 (1.5573) -0.0012 (-0.1093)
(5,200,0.01) 0.0190 (1.4984) 0.0026 (0.2316)
TRB (150,0) 0.0173 (0.6125) -0.0039 (-0.0974)
(200,0) 0.0141 (0.4616) -0.0849 (-1.8098)
(50,0) 0.0113 (0.4944) -0.0157 (-0.7453)
Note: ** and * denote significant at 5% and 10% significant level respectively.
58
Table 9
The best performing Sentiment-TAR and technical trading rules in the out-of-sample period.
Out-of-sample
Rule Best Rules Buy-Sell t-statistic Best Rules Buy-Sell t-statistic
ECO ECO
Sentiment -TAR (5,50) 0.0004 (1.3695) Sentiment -TAR (2,50) 0.0007 (1.5760)
(5,200) 0.0004 (1.2859) (1,50) 0.0000 (0.0699)
(2,200) 0.0003 (0.8642) (1,200) -0.0002 (-0.3849)
SentimentMARKET-TAR (2,50) 0.0004 (1.2323) SentimentMARKET-TAR (1,150) 0.0019** (4.0185)
(1,50) 0.0003 (0.8601) (2,200) 0.0017** (3.5548)
(5,200) -0.0001 (-0.2180) (2,150) 0.0016** (3.5161)
SentimentWORLD-TAR (1,200) 0.0050** (15.5558) SentimentWORLD-TAR (1,150) 0.0043** (9.1146)
(1,150) 0.0048** (14.9829) (2,150) 0.0038** (8.0197)
(1,50) 0.0039** (12.1576) (2,200) 0.0034** (7.1071)
VMA (1,20,0) 0.0003 (1.0044) VMA (1,20,0.01) 0.0011 (1.7983)
(5,200,0) 0.0001 (0.2367) (2,20,0.01) 0.0008 (1.2953)
(1,200,0.01) 0.0001 (0.1996) (2,20,0) 0.0006 (1.2449)
FMA (5,200,0) -0.0004 (-0.0918) FMA (5,50,0.01) 0.0049 (0.8267)
(2,200,0.01) -0.0005 (-0.1151) (2,50,0.01) 0.0052 (0.8805)
(1,200,0.01) -0.0023 (-0.5138) (1,50,0) 0.0020 (0.3336)
TRB (150,0) 0.0158 (1.1784) TRB (200,0.01) 0.0185 (0.6964)
(200,0.01) 0.0137 (0.4828) (150,0.01) 0.0172 (0.8209)
(200,0) 0.0106 (0.7799) (50,0.01) 0.0155 (0.9797)
SentimentECO-TAR (2,200) 0.0009** (3.1152) SentimentECO-TAR (5,50) 0.0006* (1.7527)
(1,200) 0.0007** (2.3445) (1,50) 0.0005 (1.4511)
(2,50) 0.0005* (1.8893) (2,50) 0.0004 (1.1416)
SentimentMARKET-TAR (1,200) 0.0024** (7.4479) SentimentMARKET-TAR (5,200) 0.0018** (5.1826)
(2,200) 0.0020** (6.4082) (2,200) 0.0018** (5.0647)
(1,150) 0.0018** (5.9747) (1,200) 0.0017** (4.8151)
(2,200) 0.0026** (8.6811) (1,200) 0.0038** (10.6343)
(1,150) 0.0025** (8.5406) (2,200) 0.0037** (10.5495)
VMA (2,20,0.01) 0.0010** (2.1603) VMA (1,20,0.01) 0.0004 (0.8598)
(1,20,0.01) 0.0010** (2.1706) (2,200,0.01) 0.0002 (0.6468)
(1,20,0) 0.0007** (2.2512) (5,150,0.01) 0.0002 (0.5417)
FMA (1,50,0.01) 0.0024 (0.3456) FMA (1,50,0) 0.0038 (0.9014)
(2,50,0.01) 0.0026 (0.3825) (2,50,0.01) 0.0039 (0.9266)
(2,200,0) 0.0009 (0.1340) (5,50,0) 0.0028 (0.6556)
TRB (50,0) -0.0032 (-0.2815) TRB (200,0) 0.0286** (2.1855)
(50,0.01) -0.0087 (-0.4773) (150,0.01) 0.0274 (1.3682)
(150,0) -0.0088 (-0.2207) (200,0.01) 0.0274 (1.3682)
SentimentECO-TAR (1,200) 0.0006 (1.5188) SentimentECO-TAR (5,200) 0.0008** (2.1090)
(2,50) 0.0004 (0.9635) (1,200) 0.0007* (1.8291)
(2,200) 0.0004 (0.9346) (2,200) 0.0007* (1.7146)
(2,200) 0.0020** (5.0519) (1,150) 0.0017** (4.0831)
(1,150) 0.0016** (4.0619) (1,200) 0.0017** (4.0214)
(1,200) 0.0034** (9.0245) (2,200) 0.0030** (7.7396)
(2,150) 0.0032** (8.5104) (1,150) 0.0027** (6.9774)
VMA (5,20,0) 0.0001 (0.3318) VMA (1,20,0.01) 0.0005 (0.8051)
(1,20,0) -0.0001 (-0.1417) (1,50,0) 0.0003 (0.7944)
(5,20,0.01) -0.0001 (-0.1595) (5,20,0.01) 0.0003 (0.4059)
FMA (1,50,0.01) -0.0042 (-0.7765) FMA (5,50,0) 0.0027 (0.3437)
(2,50,0) -0.0032 (-0.5981) (2,50,0) 0.0028 (0.3601)
(5,50,0) -0.0045 (-0.8243) (1,50,0) -0.0005 (-0.0578)
TRB (50,0) -0.0081 (-0.9440) TRB (150,0.01) 0.0092 (0.2799)
(50,0.01) -0.0096 (-0.5175) (50,0.01) 0.0055 (0.2639)
(150,0.01) -0.0259 (-1.7306) (50,0) -0.0021 (-0.1760)
59
Out-of-sample
Rule Best Rules Buy-Sell t-statistic Best Rules Buy-Sell t-statistic
SentimentECO-TAR (2,50) 0.0004 (1.1051) SentimentECO-TAR (1,200) 0.0015** (3.2902)
(5,50) 0.0002 (0.4098) (1,50) 0.0012** (2.7591)
(1,200) 0.0001 (0.1761) (2,150) 0.0012** (2.7092)
(1,200) 0.0014** (3.5298) (1,200) 0.0025** (5.3029)
(2,150) 0.0011** (2.8561) (2,150) 0.0022** (4.9233)
(2,200) 0.0026** (6.8347) (2,150) 0.0037** (8.1767)
(1,150) 0.0024** (6.3245) (2,200) 0.0036** (7.8601)
VMA (1,20,0) 0.0009** (2.4526) VMA (1,20,0.01) 0.0020** (3.5045)
(2,20,0) 0.0008** (1.9613) (1,20,0) 0.0019** (4.3481)
(5,20,0.01) 0.0007 (1.2744) (2,20,0.01) 0.0019** (3.3215)
FMA (1,150,0) -0.0001 (n. a.) FMA (2,50,0) 0.0089 (1.4954)
(2,150,0) 0.0002 (n. a.) (5,50,0) 0.0085 (1.4318)
(1,150,0.01) -0.0022 (n. a.) (2,50,0.01) 0.0040 (0.6723)
TRB (200,0) 0.0068 (n. a.) TRB (150,0) 0.0446** (2.6685)
(50,0) 0.0003 (n. a.) (150,0.01) 0.0315 (1.5756)
(150,0) -0.0050 (n. a.) (200,0) 0.0287 (1.4387)
SentimentECO-TAR (1,50) 0.0002 (0.6163) SentimentECO-TAR (1,200) 0.0003 (0.3875)
(2,50) 0.0001 (0.2511) (2,200) 0.0003 (0.3619)
(2,200) 0.0000 (-0.0847) (2,150) 0.0002 (0.3264)
(2,50) 0.0012** (3.6085) (1,150) 0.0018** (2.1961)
(1,50) 0.0010** (3.0763) (2,150) 0.0014* (1.8217)
(2,200) 0.0037** (11.1312) (1,150) 0.0032** (4.2043)
(5,200) 0.0036** (10.7877) (2,200) 0.0027** (3.6006)
VMA (1,20,0.01) 0.0006 (1.1614) VMA (1,20,0.01) 0.0023** (2.6253)
(2,20,0.01) 0.0004 (0.8263) (2,20,0.01) 0.0022** (2.4128)
(1,20,0) 0.0003 (0.7635) (1,20,0) 0.0021** (2.7640)
FMA (5,50,0) 0.0004 (0.0783) FMA (5,50,0.01) 0.0151 (1.5378)
(5,150,0) 0.0002 (0.0395) (2,50,0.01) 0.0150 (1.5391)
(2,150,0) -0.0013 (-0.2276) (2,150,0) 0.0139 (1.4112)
TRB (200,0.01) 0.0172 (0.4904) TRB (50,0) 0.0285* (1.7454)
(150,0.01) 0.0146 (0.4142) (50,0.01) 0.0274 (1.3937)
(50,0.01) 0.0033 (0.1342) (150,0) -0.0122 (-0.6039)
Panel K: TIN
SentimentECO-TAR (1,200) 0.0032** (2.9636)
(5,200) 0.0031** (2.8591)
(5,150) 0.0029** (2.6876)
SentimentMARKET-TAR (5,200) 0.0044** (4.0889)
(2,150) 0.0041** (3.8120)
(1,150) 0.0040** (3.6599)
SentimentWORLD-TAR (1,200) 0.0045** (4.1419)
(2,200) 0.0044** (4.0726)
(5,150) 0.0038** (3.5779)
VMA (5,200,0) 0.0000 (-0.0431)
(5,200,0.01) -0.0002 (-0.1894)
(2,200,0.01) -0.0006 (-0.5072)
FMA (2,200,0.01) 0.0029 (0.2622)
(5,200,0.01) 0.0026 (0.2316)
(5,200,0) 0.0025 (0.2350)
TRB (150,0) -0.0039 (-0.0974)
(50,0) -0.0157 (-0.7453)
(50,0.01) -0.0314 (-1.3148)
Note: ** and * denote significant at 5% and 10% significant level respectively.
60
61
Table 10
The bootstrapped simulation results over the full sample, in-sample and out-of-sample periods.
Full sample In-sample Out-of-sample
Best rules Nominal RC WRC SPA Best rules Nominal WRC SPA Best rules Nominal RC WRC SPA
RC
Panel A: FBMKLCI
SentimentECO-TAR (2,150) 0.000 0.000 0.000 (2,150) 0.000 0.000 0.000 (5,50) 1.000 0.440 0.440
(5,150) 0.000 (1,50) 0.000 (5,200) 1.000
(1,150) 0.000 (5,150) 0.000 (2,200) 1.000
SentimentMARKET-TAR (2,200) 0.000 0.001 0.001 (2,200) 0.000 0.000 0.000 (2,50) 1.000 0.568 0.568
(1,150) 0.009 (1,150) 0.000 (1,50) 1.000
(2,150) 0.006 (2,150) 0.000 (5,200) 1.000
SentimentWORLD-TAR (1,150) 0.000 0.000 0.000 (1,150) 0.000 0.000 0.000 (1,200) 0.000 0.000 0.000
(1,200) 0.000 (1,200) 0.000 (1,150) 0.000
(1,050) 0.000 (1,50) 0.000 (1,50) 0.000
VMA (1,20,0.01) 0.000 0.136 0.133 (1,20,0.01) 0.000 0.135 0.134 (1,20,0) 0.170 0.615 0.505
(2,20,0.01) 0.001 (2,20,0.01) 0.000 (5,200,0) 0.420
(1,20,0) 0.072 (1,20,0) 0.000 (1,200,0.01) 0.421
FMA (2,50,0.01) 0.043 0.487 0.456 (2,50,0.01) 0.003 0.271 0.254 (5,200,0) 0.446 0.664 0.542
(2,50,0) 0.024 (1,50,0.01) 0.007 (2,200,0.01) 0.483
(5,50,0) 0.038 (2,50,0) 0.004 (1,200,0.01) 1.000
TRB (150,0) 0.065 0.589 0.487 (50,0.01) 0.027 0.530 0.420 (150,0) 0.179 0.638 0.568
(50,0.01) 0.163 (50,0) 0.093 (200,0.01) 0.210
(50,0) 0.300 (150,0) 0.118 (200,0) 0.417
Panel B: CON
(1,050) 0.004 (1,150) 0.002 (1,50) 1.000
(1,200) 0.029 (1,200) 0.005 (1,200) 1.000
(1,200) 0.000 (1,200) 0.000 (2,200) 0.000
(2,200) 0.000 (2,200) 0.000 (2,150) 0.000
(1,150) 0.000 (1,150) 0.000 (2,150) 0.000
(2,200) 0.000 (2,200) 0.000 (2,200) 0.000
VMA (1,20,0.01) 0.000 0.087 0.087 (1,20,0.01) 0.000 0.900 0.900 (1,20,0.01) 0.067 0.541 0.405
(2,20,0.01) 0.003 (2,20,0.01) 0.001 (2,20,0.01) 0.119
(2,20,0) 0.001 (1,50,0.01) 0.000 (2,20,0) 0.112
FMA (2,50,0.01) 0.024 0.378 0.367 (2,200,0.01) 0.012 0.266 0.266 (5,50,0.01) 1.000 1.000 1.000
(5,50,0.01) 0.063 (2,50,0.01) 0.021 (2,50,0.01) 1.000
(1,50,0.01) 0.062 (1,200,0.01) 0.009 (1,50,0) 1.000
TRB (150,0) 0.119 0.466 0.401 (150,0) 0.051 0.492 0.401 (200,0.01) 0.153 0.535 0.527
(200,0) 0.181 (200,0) 0.124 (150,0.01) 0.167
(150,0.01) 0.427 (150,0.01) 0.123 (50,0.01) 0.176
62
Best rules Nominal RC WRC SPA Best rules Nominal RC WRC SPA Best rules Nominal RC WRC SPA
Panel C: COP
(1,200) 0.000 (1,200) 0.001 (1,200) 0.009
(2,200) 0.000 (2,200) 0.004 (2,50) 0.000
(1,150) 0.000 (1,150) 0.000 (2,200) 0.000
(5,200) 0.000 (5,200) 0.000 (1,150) 0.000
(2,200) 0.000 (2,200) 0.000 (2,200) 0.000
(1,150) 0.000 (1,150) 0.000 (1,150) 0.000
VMA (1,20,0.01) 0.003 0.104 0.097 (1,20,0.01) 0.000 0.175 0.174 (2,20,0.01) 0.008 0.322 0.225
(2,20,0.01) 0.008 (2,20,0.01) 0.000 (1,20,0.01) 0.023
(1,20,0) 0.000 (1,20,0) 0.000 (1,20,0) 0.069
FMA (1,50,0.01) 0.026 0.594 0.502 (1,50,0.01) 0.001 0.420 0.417 (1,50,0.01) 1.000 1.000 1.000
(2,50,0.01) 0.030 (2,50,0.01) 0.003 (2,50,0.01) 1.000
(5,50,0.01) 0.163 (5,50,0.01) 0.009 (2,200,0) 1.000
TRB (50,0) 0.214 1.000 1.000 (150,0) 0.020 1.000 1.000 (50,0) 1.000 1.000 1.000
(150,0) 0.193 (50,0) 0.005 (50,0.01) 1.000
(200,0) 0.277 (200,0) 0.038 (150,0) 1.000
Panel D: FIN
(2,200) 0.000 (2,200) 0.000 (1,50) 0.324
(2,150) 0.000 (2,150) 0.001 (2,50) 0.219
(1,150) 0.000 (1,150) 0.000 (2,200) 0.000
(2,200) 0.000 (2,200) 0.000 (1,200) 0.000
(2,200) 0.000 (1,150) 0.000 (1,200) 0.000
(1,200) 0.000 (1,200) 0.000 (2,200) 0.002
VMA (1,20,0.01) 0.006 0.174 0.173 (1,20,0.01) 0.000 0.094 0.092 (1,20,0.01) 0.251 0.710 0.665
(2,20,0.01) 0.026 (2,20,0.01) 0.000 (2,200,0.01) 0.311
(1,50,0.01) 0.005 (1,20,0) 0.000 (5,150,0.01) 0.343
FMA (2,50,0.01) 0.004 0.220 0.220 (1,50,0.01) 0.001 0.226 0.226 (1,50,0) 0.318 0.461 0.433
(1,50,0.01) 0.005 (2,50,0.01) 0.003 (2,50,0.01) 0.359
(1,50,0) 0.023 (1,150,0.01) 0.015 (5,50,0) 0.371
TRB (200,0) 0.096 0.508 0.440 (150,0) 0.029 0.539 0.449 (200,0) 0.080 0.525 0.518
(150,0) 0.075 (200,0) 0.052 (150,0.01) 0.226
(150,0.01) 1.000 (50,0.01) 0.123 (200,0.01) 0.186
63
Panel E: IND
(2,150) 0.049 (2,150) 0.049 (2,50) 0.392
(1,150) 0.068 (1,150) 0.077 (2,200) 0.303
(2,150) 0.000 (2,150) 0.000 (2,200) 0.000
(1,200) 0.000 (1,200) 0.000 (1,150) 0.000
(1,150) 0.000 (1,150) 0.000 (1,200) 0.000
(2,200) 0.000 (2,200) 0.000 (2,150) 0.000
VMA (1,20,0.01) 0.196 0.573 0.412 (1,20,0.01) 0.000 0.413 0.331 (5,20,0) 0.379 1.000 1.000
(1,20,0) 0.028 (1,20,0) 0.003 (1,20,0) 1.000
(5,20,0.01) 0.426 (2,50,0.01) 0.005 (5,20,0.01) 1.000
FMA (1,50,0.01) 0.210 1.000 1.000 (1,50,0.01) 0.061 0.708 0.568 (1,50,0.01) 1.000 1.000 1.000
(5,50,0.01) 0.434 (5,50,0.01) 0.136 (2,50,0) 1.000
(2,50,0) 0.484 (1,50,0) 0.136 (5,50,0) 1.000
TRB (50,0.01) 1.000 1.000 1.000 (50,0.01) 0.052 1.000 1.000 (50,0) 1.000 1.000 1.000
(50,0) 0.361 (50,0) 0.153 (50,0.01) 1.000
(200,0) 1.000 (200,0) 0.173 (150,0.01) 1.000
Panel F: INP
(2,050) 0.000 (1,50) 0.001 (1,200) 0.322
(1,050) 0.002 (2,200) 0.000 (2,200) 1.000
(1,150) 0.000 (1,150) 0.000 (1,150) 0.000
(2,200) 0.000 (2,200) 0.000 (1,200) 0.000
(1,200) 0.000 (2,200) 0.000 (2,200) 0.000
(1,150) 0.000 (1,150) 0.000 (1,150) 0.000
VMA (1,20,0.01) 0.000 0.160 0.141 (1,20,0.01) 0.000 0.083 0.083 (1,20,0.01) 0.195 0.736 0.685
(2,20,0.01) 0.000 (2,20,0.01) 0.000 (1,50,0) 0.173
(5,20,0.01) 0.007 (5,20,0.01) 0.000 (5,20,0.01) 0.270
FMA (1,50,0.01) 0.039 0.445 0.430 (1,50,0.01) 0.010 0.408 0.403 (5,50,0) 0.327 0.645 0.595
(2,50,0.01) 0.029 (2,50,0.01) 0.017 (2,50,0) 0.329
(5,50,0) 0.030 (5,50,0.01) 0.016 (1,50,0) 0.388
TRB (150,0.01) 0.191 0.446 0.381 (200,0.01) 0.000 0.262 0.231 (150,0.01) 0.360 1.000 1.000
(200,0.01) 0.347 (150,0.01) 0.019 (50,0.01) 0.332
(50,0.01) 0.056 (50,0.01) 0.025 (50,0) 1.000
64
Panel G: PLN
(5,150) 0.002 (1,200) 0.001 (5,50) 1.000
(5,200) 0.006 (5,200) 0.000 (1,200) 1.000
(2,200) 0.000 (2,200) 0.000 (1,200) 0.003
(1,150) 0.000 (1,150) 0.000 (2,150) 0.000
(2,200) 0.000 (2,200) 0.000 (2,200) 0.000
(1,150) 0.000 (1,150) 0.000 (1,150) 0.000
VMA (1,20,0.01) 0.000 0.011 0.011 (1,20,0.01) 0.000 0.011 0.011 (1,20,0) 0.014 0.289 0.258
(2,20,0.01) 0.000 (2,20,0.01) 0.000 (2,20,0) 0.043
(1,20,0) 0.000 (2,20,0) 0.000 (5,20,0.01) 0.066
FMA (5,150,0.01) 0.002 0.096 0.096 (5,150,0.01) 0.002 0.066 0.066 (1,150,0) 0.305 0.642 0.597
(2,50,0.01) 0.002 (2,50,0.01) 0.001 (2,150,0) 0.338
(1,50,0.01) 0.000 (1,50,0.01) 0.001 (1,150,0.01) 0.361
TRB (200,0.01) 0.108 0.177 0.169 (200,0) 0.002 0.099 0.099 (200,0) 0.144 1.000 1.000
(200,0) 0.003 (200,0.01) 0.004 (50,0) 0.376
(150,0.01) 0.127 (150,0) 0.003 (150,0) 1.000
Panel H: PRP
(1,150) 0.000 (1,200) 0.000 (1,50) 0.030
(1,050) 0.000 (1,150) 0.000 (2,150) 0.002
(1,200) 0.000 (1,200) 0.000 (1,200) 0.000
(2,150) 0.000 (2,150) 0.000 (2,150) 0.000
(1,150) 0.000 (1,150) 0.000 (2,150) 0.000
(2,200) 0.000 (2,200) 0.000 (2,200) 0.000
VMA (1,20,0.01) 0.000 0.000 0.000 (1,20,0.01) 0.000 0.000 0.000 (1,20,0.01) 0.000 0.014 0.014
(2,20,0.01) 0.000 (2,20,0.01) 0.000 (2,20,0.01) 0.000
(1,20,0) 0.000 (2,20,0) 0.000 (2,20,0) 0.000
FMA (5,150,0.01) 0.000 0.078 0.078 (5,150,0.01) 0.000 0.056 0.056 (5,150,0.01) 0.000 0.195 0.193
(2,50,0.01) 0.002 (2,150,0.01) 0.000 (2,150,0.01) 0.000
(1,50,0.01) 0.001 (1,200,0) 0.001 (1,200,0) 0.001
TRB (200,0.01) 0.000 0.013 0.013 (50,0) 0.000 0.041 0.041 (50,0) 0.000 0.072 0.072
(200,0) 0.059 (200,0.01) 0.000 (200,0.01) 0.000
(150,0.01) 0.000 (150,0) 0.002 (150,0) 0.002
65
Panel I: TAS
(2,200) 0.002 (2,200) 0.001 (2,50) 1.000
(1,200) 0.008 (1,200) 0.002 (2,200) 1.000
(1,150) 0.000 (1,150) 0.000 (2,50) 0.002
(2,200) 0.000 (2,200) 0.000 (1,50) 0.002
(1,200) 0.000 (1,150) 0.000 (2,200) 0.000
(2,200) 0.000 (2,200) 0.000 (5,200) 0.000
VMA (1,20,0.01) 0.001 0.207 0.181 (1,20,0.01) 0.000 0.181 0.173 (1,20,0.01) 0.163 0.689 0.586
(2,20,0.01) 0.012 (2,20,0.01) 0.001 (2,20,0.01) 0.242
(1,20,0) 0.002 (1,20,0) 0.000 (1,20,0) 0.268
FMA (1,50,0.01) 0.058 0.622 0.545 (1,50,0.01) 0.029 0.514 0.465 (5,50,0) 0.480 1.000 1.000
(2,50,0.01) 0.123 (2,50,0.01) 0.027 (5,150,0) 0.490
(5,50,0.01) 0.169 (5,50,0.01) 0.046 (2,150,0) 1.000
TRB (50,0.01) 0.201 1.000 1.000 (50,0.01) 0.036 1.000 1.000 (200,0.01) 1.000 1.000 1.000
(50,0) 0.333 (50,0) 0.081 (150,0.01) 1.000
(150,0.01) 1.000 (150,0.01) 0.410 (50,0.01) 1.000
Panel J: TEC
(2,150) 0.016 (2,150) 0.007 (2,200) 0.405
(1,150) 0.035 (1,50) 0.012 (2,150) 1.000
(2,200) 0.000 (2,200) 0.000 (1,150) 0.284
(2,150) 0.000 (2,150) 0.000 (2,150) 0.041
(1,150) 0.000 (1,150) 0.000 (1,150) 0.000
(2,200) 0.000 (2,200) 0.000 (2,200) 0.000
VMA (1,20,0.01) 0.000 0.003 0.003 (1,20,0.01) 0.000 0.004 0.004 (1,20,0.01) 0.002 0.118 0.106
(2,20,0.01) 0.000 (2,20,0.01) 0.000 (2,20,0.01) 0.008
(1,20,0) 0.000 (2,20,0) 0.001 (1,20,0) 0.011
FMA (2,150,0) 0.006 0.138 0.138 (5,150,0.01) 0.002 0.136 0.136 (5,50,0.01) 0.198 0.618 0.593
(2,50,0.01) 0.036 (2,150,0) 0.002 (2,50,0.01) 0.183
(5,50,0.01) 0.025 (2,50,0.01) 0.003 (2,150,0) 0.212
TRB (50,0.01) 0.145 0.041 0.036 (200,0.01) 0.000 0.071 0.071 (50,0) 0.026 0.294 0.186
(50,0) 0.070 (150,0) 0.000 (50,0.01) 0.132
(150,0) 0.052 (150,0.01) 0.003 (150,0) 1.000
66
Panel K: TIN
(5,200) 0.093 (5,200) 0.383 (5,200) 0.009
(2,050) 0.407 (2,50) 0.427 (5,150) 0.369
(5,200) 0.032 (5,200) 0.343 (2,150) 0.000
(1,200) 0.063 (1,200) 0.424 (1,150) 0.001
(2,200) 0.002 (2,200) 0.039 (2,200) 0.000
(2,150) 0.007 (2,150) 0.034 (5,150) 0.016
VMA (5,150,0) 0.437 0.768 0.795 (5,150,0) 0.253 0.567 0.567 (5,200,0) 1.000 1.000 1.000
(5,200,0.01) 0.468 (5,150,0.01) 0.289 (5,200,0.01) 1.000
(5,150,0.01) 0.497 (1,150,0) 0.297 (2,200,0.01) 1.000
FMA (5,200,0.01) 0.246 0.528 0.528 (1,150,0.01) 0.206 0.432 0.432 (2,200,0.01) 1.000 1.000 1.000
(1,150,0.01) 0.287 (2,150,0) 0.213 (5,200,0.01) 1.000
(2,150,0) 0.294 (5,200,0.01) 0.227 (5,200,0) 1.000
TRB (150,0) 1.000 1.000 1.000 (150,0) 1.000 1.000 1.000 (150,0) 1.000 1.000 1.000
(50,0) 1.000 (200,0) 1.000 (50,0) 1.000
(150,0.01) 1.000 (50,0) 1.000 (50,0.01) 1.000
Note: The “nominal RC” is the p-values calculated based on the best trading rule only by using the Reality Check methodology. The “WRC” and “SPA” are p-values computed by
applying the reality check and superior predictive ability methodology to all the trading rules considered. Values in bold indicate significant p-values.
67
Table 11
Breakeven cost for the double or out strategy.
Trading rules Best rules Breakeven cost Best rules Breakeven cost Best rules Breakeven cost
Panel A: FBMKLCI
SentimentECO-TAR (2,150) 0.057% (2,150) 0.09% (5,50) 0.00%
(5,150) 0.046% (1,50) 0.08% (5,200) -0.01%
(1,150) 0.047% (5,150) 0.07% (2,200) 0.00%
SentimentMARKET-TAR (2,200) 0.045% (2,200) 0.07% (2,50) -0.01%
(1,150) 0.036% (1,150) 0.06% (1,50) -0.01%
(2,150) 0.036% (2,150) 0.06% (5,200) -0.01%
SentimentWORLD-TAR (1,150) 0.339% (1,150) 0.39% (1,200) 0.24%
(1,200) 0.336% (1,200) 0.38% (1,150) 0.25%
(1,50) 0.276% (1,50) 0.32% (1,50) 0.19%
VMA (1,20,0.01) 0.079% (1,20,0.01) 0.106% (1,20,0) 0.017%
(2,20,0.01) 0.065% (2,20,0.01) 0.088% (5,200,0) 0.005%
(1,20,0) 0.058% (1,20,0) 0.078% (1,200,0.01) 0.004%
FMA (2,50,0.01) 0.282% (2,50,0.01) 0.455% (5,200,0) 0.105%
(2,50,0) 0.365% (1,50,0.01) 0.438% (2,200,0.01) 0.050%
(5,50,0) 0.333% (2,50,0) 0.556% (1,200,0.01) 0.047%
TRB (150,0) 0.651% (50,0.01) 1.097% (150,0) 0.348%
(50,0.01) 0.667% (50,0) 0.841% (200,0.01) 0.323%
(50,0) 0.597% (150,0) 0.748% (200,0) 0.326%
Panel B: CON
SentimentECO-TAR (1,150) 0.048% (1,50) 0.089% (2,50) -0.025%
(1,50) 0.060% (1,150) 0.094% (1,50) 0.003%
(1,200) 0.045% (1,200) 0.074% (1,200) -0.009%
SentimentMARKET-TAR (1,150) 0.111% (1,150) 0.120% (1,150) 0.095%
(1,200) 0.100% (1,200) 0.110% (2,200) 0.080%
(2,200) 0.093% (2,200) 0.098% (2,150) 0.084%
(1,150) 0.325% (1,150) 0.381% (2,150) 0.213%
(2,200) 0.289% (2,200) 0.350% (2,200) 0.166%
VMA (1,20,0.01) 0.110% (1,20,0.01) 0.131% (1,20,0.01) 0.058%
(2,20,0.01) 0.096% (2,20,0.01) 0.116% (2,20,0.01) 0.044%
(2,20,0) 0.076% (1,50,0.01) 0.103% (2,20,0) 0.030%
FMA (2,50,0.01) 0.474% (2,200,0.01) 0.676% (5,50,0.01) -0.088%
(5,50,0.01) 0.282% (2,50,0.01) 0.673% (2,50,0.01) 0.030%
(1,50,0.01) 0.192% (1,200,0.01) 0.618% (1,50,0) 0.199%
TRB (150,0) 1.075% (150,0) 1.197% (200,0.01) 0.924%
(200,0) 1.051% (200,0) 1.222% (150,0.01) 1.120%
(150,0.01) 1.049% (150,0.01) 1.034% (50,0.01) 0.830%
Panel C: COP
(1,200) 0.040% (1,200) 0.042% (1,200) 0.036%
(2,200) 0.042% (2,200) 0.040% (2,50) 0.046%
(1,150) 0.077% (1,150) 0.075% (2,200) 0.083%
(5,200) 0.061% (5,200) 0.061% (1,150) 0.061%
(2,200) 0.163% (2,200) 0.183% (2,200) 0.122%
(1,150) 0.160% (1,150) 0.179% (1,150) 0.121%
VMA (1,20,0.01) 0.067% (1,20,0.01) 0.074% (2,20,0.01) 0.048%
(2,20,0.01) 0.063% (2,20,0.01) 0.069% (1,20,0.01) 0.047%
(1,20,0) 0.053% (1,20,0) 0.063% (1,20,0) 0.034%
FMA (1,50,0.01) 0.199% (1,50,0.01) 0.442% (1,50,0.01) -0.374%
(2,50,0.01) 0.252% (2,50,0.01) 0.448% (2,50,0.01) -0.212%
(5,50,0.01) 0.183% (5,50,0.01) 0.359% (2,200,0) 0.027%
TRB (50,0) 0.353% (150,0) 0.859% (50,0) -0.263%
(150,0) 0.501% (50,0) 0.642% (50,0.01) -0.786%
(200,0) 0.468% (200,0) 0.778% (150,0) -0.388%
68
Panel D: FIN
(2,200) 0.056% (2,200) 0.081% (1,50) 0.012%
(2,150) 0.056% (2,150) 0.080% (2,50) 0.013%
(1,150) 0.101% (1,150) 0.120% (2,200) 0.063%
(2,200) 0.094% (2,200) 0.099% (1,200) 0.085%
(2,200) 0.270% (1,150) 0.319% (1,200) 0.123%
(1,200) 0.269% (1,200) 0.318% (2,200) 0.054%
VMA (1,20,0.01) 0.074% (1,20,0.01) 0.093% (1,20,0.01) 0.021%
(2,20,0.01) 0.064% (2,20,0.01) 0.088% (2,200,0.01) 0.011%
(1,50,0.01) 0.063% (1,20,0) 0.089% (5,150,0.01) 0.011%
FMA (2,50,0.01) 0.518% (1,50,0.01) 0.661% (1,50,0) 0.114%
(1,50,0.01) 0.547% (2,50,0.01) 0.713% (2,50,0.01) 0.167%
(1,50,0) 0.507% (1,150,0.01) 0.478% (5,50,0) 0.099%
TRB (200,0) 1.051% (150,0) 1.195% (200,0) 0.797%
(150,0) 0.962% (200,0) 1.128% (150,0.01) 1.235%
(150,0.01) 0.731% (50,0.01) 0.876% (200,0.01) 1.235%
Panel E: IND
(2,150) 0.023% (2,150) 0.032% (2,50) 0.008%
(1,150) 0.021% (1,150) 0.027% (2,200) 0.011%
(2,150) 0.083% (2,150) 0.087% (2,200) 0.077%
(1,200) 0.088% (1,200) 0.084% (1,150) 0.094%
(1,150) 0.199% (1,150) 0.222% (1,200) 0.153%
(2,200) 0.194% (2,200) 0.205% (2,150) 0.171%
VMA (1,20,0.01) 0.037% (1,20,0.01) 0.057% (5,20,0) 0.007%
(1,20,0) 0.036% (1,20,0) 0.054% (1,20,0) -0.001%
(5,20,0.01) 0.030% (2,50,0.01) 0.050% (5,20,0.01) -0.001%
FMA (1,50,0.01) 0.206% (1,50,0.01) 0.367% (1,50,0.01) -0.138%
(5,50,0.01) 0.188% (5,50,0.01) 0.384% (2,50,0) -0.148%
(2,50,0) 0.193% (1,50,0) 0.347% (5,50,0) -0.179%
TRB (50,0.01) 0.373% (50,0.01) 0.624% (50,0) -0.487%
(50,0) 0.319% (50,0) 0.662% (50,0.01) -0.698%
(200,0) 0.266% (200,0) 0.664% (150,0.01) -2.550%
Panel F: INP
(2,050) 0.048% (1,50) 0.070% (1,200) 0.012%
(1,050) 0.042% (2,200) 0.068% (2,200) -0.002%
(1,150) 0.096% (1,150) 0.103% (1,150) 0.081%
(2,200) 0.090% (2,200) 0.098% (1,200) 0.074%
(1,200) 0.242% (2,200) 0.282% (2,200) 0.162%
(1,150) 0.230% (1,150) 0.277% (1,150) 0.137%
VMA (1,20,0.01) 0.092% (1,20,0.01) 0.116% (1,20,0.01) 0.032%
(2,20,0.01) 0.089% (2,20,0.01) 0.115% (1,50,0) 0.019%
(5,20,0.01) 0.076% (5,20,0.01) 0.095% (5,20,0.01) 0.023%
FMA (1,50,0.01) 0.290% (1,50,0.01) 0.397% (5,50,0) 0.023%
(2,50,0.01) 0.334% (2,50,0.01) 0.435% (2,50,0) 0.127%
(5,50,0) 0.363% (5,50,0.01) 0.400% (1,50,0) 0.126%
TRB (150,0.01) 1.607% (200,0.01) 2.033% (150,0.01) 0.635%
(200,0.01) 1.554% (150,0.01) 1.850% (50,0.01) 0.343%
(50,0.01) 1.293% (50,0.01) 1.629% (50,0) -0.020%
69
Panel G: PLN
(5,150) 0.062% (1,200) 0.101% (5,50) -0.007%
(5,200) 0.055% (5,200) 0.091% (1,200) -0.012%
(2,200) 0.121% (2,200) 0.155% (1,200) 0.052%
(1,150) 0.128% (1,150) 0.152% (2,150) 0.080%
(2,200) 0.240% (2,200) 0.295% (2,200) 0.130%
(1,150) 0.230% (1,150) 0.284% (1,150) 0.120%
VMA (1,20,0.01) 0.116% (1,20,0.01) 0.150% (1,20,0) 0.047%
(2,20,0.01) 0.103% (2,20,0.01) 0.137% (2,20,0) 0.038%
(1,20,0) 0.095% (2,20,0) 0.123% (5,20,0.01) 0.036%
FMA (5,150,0.01) 0.598% (5,150,0.01) 0.890% (1,150,0) -0.127%
(2,50,0.01) 0.476% (2,50,0.01) 0.801% (2,150,0) -0.041%
(1,50,0.01) 0.519% (1,50,0.01) 0.795% (1,150,0.01) 0.119%
TRB (200,0.01) 1.721% (200,0) 2.310% (200,0) 0.339%
(200,0) 1.823% (200,0.01) 2.137% (50,0) 0.023%
(150,0.01) 1.527% (150,0) 2.068% (150,0) -0.330%
Panel H: PRP
(1,150) 0.103% (1,200) 0.137% (1,50) 0.041%
(1,050) 0.115% (1,150) 0.148% (2,150) 0.061%
(1,200) 0.149% (1,200) 0.164% (1,200) 0.119%
(2,150) 0.129% (2,150) 0.141% (2,150) 0.107%
(1,150) 0.268% (1,150) 0.321% (2,150) 0.161%
(2,200) 0.263% (2,200) 0.310% (2,200) 0.168%
VMA (1,20,0.01) 0.160% (1,20,0.01) 0.186% (1,20,0.01) 0.099%
(2,20,0.01) 0.149% (2,20,0.01) 0.171% (2,20,0.01) 0.096%
(1,20,0) 0.128% (2,20,0) 0.146% (2,20,0) 0.096%
FMA (5,150,0.01) 0.602% (5,150,0.01) 0.795% (5,150,0.01) 0.199%
(2,50,0.01) 0.557% (2,150,0.01) 0.782% (2,150,0.01) 0.242%
(1,50,0.01) 0.595% (1,200,0) 0.459% (1,200,0) 0.390%
TRB (200,0.01) 1.823% (50,0) 2.094% (50,0) 1.323%
(200,0) 1.755% (200,0.01) 1.876% (200,0.01) 1.635%
(150,0.01) 1.772% (150,0) 1.937% (150,0) 1.896%
Panel I: TAS
(2,200) 0.041% (2,200) 0.065% (2,50) -0.002%
(1,200) 0.037% (1,200) 0.061% (2,200) -0.008%
(1,150) 0.084% (1,150) 0.102% (2,50) 0.048%
(2,200) 0.080% (2,200) 0.097% (1,50) 0.046%
(1,200) 0.253% (1,150) 0.295% (2,200) 0.169%
(2,200) 0.256% (2,200) 0.293% (5,200) 0.181%
VMA (1,20,0.01) 0.081% (1,20,0.01) 0.100% (1,20,0.01) 0.030%
(2,20,0.01) 0.067% (2,20,0.01) 0.083% (2,20,0.01) 0.023%
(1,20,0) 0.053% (1,20,0) 0.072% (1,20,0) 0.014%
FMA (1,50,0.01) 0.315% (1,50,0.01) 0.427% (5,50,0) -0.034%
(2,50,0.01) 0.256% (2,50,0.01) 0.395% (5,150,0) 0.001%
(5,50,0.01) 0.229% (5,50,0.01) 0.335% (2,150,0) 0.058%
TRB (50,0.01) 1.119% (50,0.01) 1.558% (200,0.01) -0.365%
(50,0) 0.356% (50,0) 0.646% (150,0.01) -0.579%
(150,0.01) 0.408% (150,0.01) 0.553% (50,0.01) -0.799%
70
Breakeven
Trading rules Best rules Breakeven cost Best rules Breakeven cost Best rules
cost
Panel J: TEC
(2,150) 0.058% (2,150) 0.083% (2,200) 0.013%
(1,150) 0.051% (1,50) 0.080% (2,150) -0.002%
(2,200) 0.081% (2,200) 0.108% (1,150) 0.025%
(2,150) 0.088% (2,150) 0.096% (2,150) 0.072%
(1,150) 0.254% (1,150) 0.300% (1,150) 0.162%
(2,200) 0.237% (2,200) 0.285% (2,200) 0.140%
VMA (1,20,0.01) 0.161% (1,20,0.01) 0.182% (1,20,0.01) 0.116%
(2,20,0.01) 0.142% (2,20,0.01) 0.159% (2,20,0.01) 0.105%
(1,20,0) 0.120% (2,20,0) 0.126% (1,20,0) 0.107%
FMA (2,150,0) -0.084% (5,150,0.01) 0.849% (5,50,0.01) 0.277%
(2,50,0.01) 0.519% (2,150,0) -0.233% (2,50,0.01) 0.468%
(5,50,0.01) 0.602% (2,50,0.01) 0.544% (2,150,0) 0.217%
TRB (50,0.01) 1.821% (200,0.01) 2.409% (50,0) 1.237%
(50,0) 1.764% (150,0) 2.366% (50,0.01) 1.001%
(150,0) 1.554% (150,0.01) 2.359% (150,0) -0.047%
Panel K: TIN
SentimentECO-TAR (2, 200) 0.103% (2,200) 0.086% (1,200) 0.131%
(5,200) 0.103% (5,200) 0.073% (5,200) 0.154%
(2,050) 0.057% (2,50) 0.070% (5,150) 0.037%
(5,200) 0.130% (5,200) 0.080% (2,150) 0.220%
(1,200) 0.114% (1,200) 0.071% (1,150) 0.194%
(2,200) 0.144% (2,200) 0.152% (2,200) 0.131%
(2,150) 0.183% (2,150) 0.165% (5,150) 0.219%
VMA (5,150,0) 0.048% (5,150,0) 0.078% (5,200,0) -0.006%
(5,200,0.01) 0.042% (5,150,0.01) 0.060% (5,200,0.01) -0.018%
(5,150,0.01) 0.039% (1,150,0) -0.018% (2,200,0.01) -0.034%
FMA (5,200,0.01) 0.830% (1,150,0.01) 1.130% (2,200,0.01) -0.064%
(1,150,0.01) 0.707% (2,150,0) 1.304% (5,200,0.01) 0.156%
(2,150,0) 0.867% (5,200,0.01) 0.743% (5,200,0) 0.156%
TRB (150,0) 0.350% (150,0) 0.783% (150,0) -1.418%
(50,0) 0.146% (200,0) 0.717% (50,0) -0.851%
(150,0.01) -0.038% (50,0) 0.571% (50,0.01) -1.632%
Note: Values in bold indicates that the breakeven costs are higher than the estimated transaction cost.
Table 12
Breakeven cost for the combined trading strategy based on the best trading rule.
Trading rules Full In-sample Out-of-sample Trading rules Full In-sample Out-of-sample
ECO ECO
Sentiment Sentiment
S-TAR+VMA 0.288% 0.315% 0.139% S-TAR+VMA 0.384% 0.445% 0.236%
S-TAR+FMA 0.399% 0.527% 0.224% S-TAR+FMA 0.339% 0.634% -0.078%
S-TAR+TRB 1.713% 2.412% 1.337% S-TAR+TRB 2.547% 2.663% 3.297%
SentimentMARKET SentimentMARKET
S-TAR+VMA 0.294% 0.323% 0.120% S-TAR+VMA 0.410% 0.432% 0.351%
S-TAR+FMA 0.244% 0.390% 0.054% S-TAR+FMA 0.655% 0.858% 0.097%
S-TAR+TRB 1.611% 1.922% 1.054% S-TAR+TRB 2.656% 2.578% 3.793%
SentimentWORLD SentimentWORLD
S-TAR+VMA 0.581% 0.627% 0.338% S-TAR+VMA 0.656% 0.722% 0.470%
S-TAR+FMA 0.912% 1.228% 0.318% S-TAR+FMA 0.607% 0.797% -0.085%
S-TAR+TRB 1.719% 2.734% 0.760% S-TAR+TRB 2.814% 2.915% 5.170%
71
SentimentECO SentimentECO
S-TAR+VMA 0.281% 0.302% 0.231% S-TAR+VMA 0.328% 0.359% 0.232%
S-TAR+FMA 0.262% 0.500% -0.330% S-TAR+FMA 0.622% 0.844% 0.125%
S-TAR+TRB 1.199% 1.789% 0.093% S-TAR+TRB 2.012% 2.314% 1.213%
S-TAR+VMA 0.279% 0.278% 0.281% S-TAR+VMA 0.356% 0.399% 0.249%
S-TAR+FMA 0.484% 0.596% 0.184% S-TAR+FMA 0.710% 0.915% 0.318%
S-TAR+TRB 1.130% 1.655% 0.270% S-TAR+TRB 2.018% 2.240% 1.716%
S-TAR+VMA 0.393% 0.419% 0.327% S-TAR+VMA 0.559% 0.608% 0.398%
S-TAR+FMA 0.613% 0.851% -0.024% S-TAR+FMA 0.945% 1.181% 0.198%
S-TAR+TRB 1.019% 1.721% 0.313% S-TAR+TRB 2.017% 2.337% 1.535%

S-TAR+VMA 0.310% 0.333% 0.017% S-TAR+VMA 0.312% 0.315% 0.304%
S-TAR+FMA 0.222% 0.444% -0.239% S-TAR+FMA 0.606% 0.813% 0.184%
S-TAR+TRB 1.932% 2.061% 0.601% S-TAR+TRB 3.417% 3.975% 1.757%
S-TAR+VMA 0.313% 0.317% 0.071% S-TAR+VMA 0.324% 0.327% 0.319%
S-TAR+FMA 0.306% 0.430% 0.011% S-TAR+FMA 0.585% 0.695% 0.229%
S-TAR+TRB 2.022% 2.352% 0.117% S-TAR+TRB 3.419% 3.918% 1.790%
S-TAR+VMA 0.469% 0.496% 0.181% S-TAR+VMA 0.508% 0.550% 0.398%
S-TAR+FMA 0.457% 0.647% 0.008% S-TAR+FMA 0.699% 0.912% 0.050%
S-TAR+TRB 2.082% 2.527% 0.348% S-TAR+TRB 3.281% 3.773% 1.971%

S-TAR+VMA 0.366% 0.413% 0.161% S-TAR+VMA 0.374% 0.405% 0.302%
S-TAR+FMA 0.762% 1.094% -0.123% S-TAR+FMA 0.765% 0.881% 0.511%
S-TAR+TRB 3.601% 3.430% 1.410% S-TAR+TRB 3.457% 3.307% 2.158%
S-TAR+VMA 0.407% 0.444% 0.198% S-TAR+VMA 0.377% 0.405% 0.314%
S-TAR+FMA 0.990% 1.305% 0.098% S-TAR+FMA 0.938% 1.018% 0.766%
S-TAR+TRB 3.494% 3.326% 1.366% S-TAR+TRB 3.874% 3.241% 2.532%
S-TAR+VMA 0.595% 0.657% 0.314% S-TAR+VMA 0.606% 0.675% 0.447%
S-TAR+FMA 1.046% 1.326% 0.244% S-TAR+FMA 0.929% 1.367% -0.003%
S-TAR+TRB 3.990% 4.294% 1.127% S-TAR+TRB 3.821% 3.481% 2.386%
Table 12 (continued)
Trading rules Full In-sample Out-of-sample
S-TAR+VMA 0.285% 0.323% 0.185% S-TAR+VMA 0.443% 0.462% 0.406%
S-TAR+FMA 0.234% 0.306% 0.067% S-TAR+FMA 0.297% 1.251% 0.115%
S-TAR+TRB 2.643% 3.023% #DIV/0! S-TAR+TRB 4.131% 4.772% 2.785%
S-TAR+VMA 0.317% 0.340% 0.258% S-TAR+VMA 0.440% 0.456% 0.406%
S-TAR+FMA 0.337% 0.448% 0.082% S-TAR+FMA 0.518% 1.279% 0.895%
S-TAR+TRB 2.378% 2.899% #DIV/0! S-TAR+TRB 4.401% 4.469% 1.813%
S-TAR+VMA 0.519% 0.560% 0.401% S-TAR+VMA 0.672% 0.748% 0.531%
S-TAR+FMA 0.471% 0.580% 0.084% S-TAR+FMA 0.300% 1.363% 0.760%
S-TAR+TRB 3.229% 3.656% 0.379% S-TAR+TRB 4.068% 4.491% 2.750%
Panel K: TIN
SentimentECO
S-TAR+VMA 0.138% 0.260% 0.129%
S-TAR+FMA 0.682% 1.287% -0.631%
72
S-TAR+TRB 7.161% 7.646% 4.539%
SentimentMARKET
S-TAR+VMA 0.176% 0.367% 0.064%
S-TAR+FMA -0.250% -0.695% 0.463%
S-TAR+TRB 2.715% 3.559% -0.134%
SentimentWORLD
S-TAR+VMA 0.208% 0.368% 0.118%
S-TAR+FMA 1.186% 1.875% -0.097%
S-TAR+TRB 6.840% 6.944% 5.728%
Note: S-TAR refers to Sentiment-TAR. Values in bold indicates that the breakeven costs are higher than the estimated transaction
cost.
73

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Testing the performance of technical analysis and Sentiment-TAR trading rules

Siow-Hooi Tan, Ming-Ming Lai, Eng-Xin Tey, Lee-Lee Chong

To appear in: North American Journal of Economics & Finance

Received Date: 14 May 2018

Authors’ name, Siow-Hooi Tan

Full postal address: Siow-Hooi Tan

This study carries out investigation of technical analysis and Sentiment-Threshold

JEL classifications: G14, G15

Keywords: Sentiment-TAR, Technical trading rules; Malaysia, Data snooping, Transaction

1.1 Motivation and contributions

1.2 A summary of findings

Buy if MAS > (1 + b)MAL (1)

2.1.2 Trading Range Breakout (TRB)

2.2 Sentiment-threshold autoregressive (Sentiment-TAR) trading rules

2.2.1 Investor sentiment measures

Exchange Rate: Exchange rate movement is linked to international capital flows. An

where if , and = 0 otherwise.

where . Daily typical price is computed as

. The today’s money flow is viewed as positive money if the

Economics-based Sentiment Index (SentimentECO):

Market-based Sentiment Index (SentimentMARKET):

2.2.2 Sentiment-TAR model

2.3 Predictive power of trading rules

statistic is defined as: , where represents the number of buy (sell)

conclude that the trading rules are useful.

2.4 Robustness test: Bootstrap analysis

2.5 Calculation of breakeven transaction costs

The daily return is defined as:

4.1 Trading rules predictability

4.1.2 FMA trading rules

4.1.3 TRB trading rules

4.1.4 Sentiment-TAR trading rules

[Insert Tables 6 and 7]

In short, the Sentiment-TAR trading rules, in particular, SentimentWORLD-TAR, are shown

4.1.5 Summary of Sentiment-TAR and TTRs

4.2 Robustness test: In- and out-of-sample testing

4.3 Robustness test: The effects of data snooping on trading rules

4.4 Additional results

4.4.1 The effects of transaction costs on trading rules

4.4.2 The performance of combined strategy

[Insert Table 12]

Securities Commission Malaysia. SC Annual Report. (2017). https://www.sc.com.my/post_archive/2017-annual-

Panel B: Correlation matrix

Panel C: COP Panel D: FIN

Panel E: IND Panel F: INP

Panel G: PLN Panel H: PRP

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