THE APPLICATION OF VARIABLE MOVING AVERAGES IN THE ASIAN STOCK MARKETS

This paper examines the predictive applicability and its returns from the application of variable moving averages rules (VMA) in 7 selected Asian equity markets, namely Malaysia, Singapore, Hong Kong, Taiwan, Japan, Korea, and China. The 7 popular daily Asian market indices from January 1988 to December 2002 were studied with 10 variations in length. The results indicated support for variable moving averages in particular for the shorter lengths with 20-day as the most profitable among all. Interestingly, the mean returns of buy and sell signals from the VMA applications in the 7 markets enjoyed greater return against the unconditional buy-and-hold mean returns. The returns of the 7 Asian market indices found to be statistically significant with the Japan stock market reported the leased forecasting ability. Shanghai Composite Index with 0.1545% daily mean averages appeared to be the most attractive.