Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/147509
Title: A STUDY ON STOCK TRADING STRATEGIES USING MACRO CONDITIONS
Authors: JIN YUHANG
Issue Date: 2016
Citation: JIN YUHANG (2016). A STUDY ON STOCK TRADING STRATEGIES USING MACRO CONDITIONS. ScholarBank@NUS Repository.
Abstract: The proposition that macroeconomic conditions could drive the movement of stock prices is so far a widely discussed topic in finance. In the past few decades, some research was published to capture the potential impact of these economic forces theoretically and tested their effects empirically. It was also suggested that financial markets are so related that causal relationships can be established for stock returns on different exchanges. In this paper, how stocks listed on Singapore Exchange (SGX) are related to market indices in US, China and Singapore are examined with the most recent data. It is found out that stocks on SGX are generally less responsive to the movement of Shanghai Stock Exchange (SSE) Composite Index although a proportion of the stocks on SGX have their majority of sales revenue derived from or operating assets located in Mainland China. However, stocks on SGX are subject to the movement of US market index. Some aggressive stocks even react more to the US market index than to the Singapore market index. A trading strategy is thus designed to capture the special characteristics of these stocks based on US market movement. The in sample beta testing of this strategy shows statistically significant returns based on signals from US Gross Domestic Product (GDP), interest rate and Consumer Confidence Index (CCI). Out of sample beta testing for US GDP shows significant return in subsample beta testing and rolling beta testing between 2011 to 2015. When returns are grouped for 2006 to 2015, the results are also statistically significant with rolling beta testing. From the testing results, it can be concluded that using US GDP as a macro condition signal provides positive return for investors in Singapore if the stock trading strategy is adopted.
URI: http://scholarbank.nus.edu.sg/handle/10635/147509
Appears in Collections:Bachelor's Theses

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