The Profitability of Technical Trading System in Vietnamese Stock Market

Abstract

Previous studies have reported mixed conclusion about the efficiency of Vietnam’s Stock Market being at weak form level. As an attempt to verify prior conclusions, this research simulates simple technical trading systems on daily data of the Vietnam Index for the period from 2003-2012. Five trading techniques have been employed in this study: Simple Moving Averages, N-day Momentum, Exponential Smoothing, N-day Break out and Linear Regression. Four out of five trading systems generate positive excess return. The initial student t-test showed that these excess returns are statistically significant. However, it was also found out that there are extreme positive daily returns generated from the trading systems. When the bootstrapping tech-nique is employed with trimmed means, the trading systems fail to produce significant results.