Are Trading Rules Profitable in Exchange-Traded Funds英文文献资料.docVIP

Technology and Investment, 2011, 2, 129-133 doi:10.4236/ti.2011.22013 Published Online May 2011 (http://www.SciRP.org/journal/ti) Are Trading Rules Profitable in Exchange-Traded Funds? Terence Tai-Leung Chong , Elton Hei-Tung Li , Kenneth Tak-Kan Kong 1 2 2 1 Department of Economics and Hong Kong Institute of Asia-Pacific Studies, The Chinese University of Hong Kong, Hong Kong, China 2 Department of Economics, The Chinese University of Hong Kong, Hong Kong, China E-mail: chong2064@.hk Received March 1, 2011; revised April 28, 2011; accepted May 4, 2011 Abstract The Exchange-traded fund (ETF) is a burgeoning financial vehicle. Despite its growing importance, there has been a lack of empirical studies on the profitability of technical trading rules in the ETF market. This paper assesses the profitability of the On-Balance Volume indicator (OBV) on ETF trading. It is found that the trading rules associated with the OBV are able to generate handsome returns in the ETF market. This is in contrast to the conventional wisdom that funds should be bought and held. Keywords: On-Balance Volume, Exchange-Traded Funds, Moving Average 1. Introduction respectively at time t. We let OBV0 to be zero. A rising price together with a rising OBV indicates that the vol- ume is heavier on up days, confirming the uptrend of the market. If prices are moving higher while the volume is falling, it suggests a trend reversal. A wide variety of nascent financial vehicles have been developed in recent years. In particular, the Exchange- traded fund (ETF), among other financial innovations, has become a burgeoning financial vehicle and gained the attention of the populace. ETFs have a relatively short history. The world’s first ETF was launched in 1993, with a total asset value of US $484 million. By the end of 2010, t