Author(s)

Terence Tai-Leung Chong, Elton Hei-Tung Li, Kenneth Tak-Kan Kong

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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.

On-Balance Volume, Exchange-Traded Funds, Moving Average

Chong, T. , Li, E. and Kong, K. (2011) Are Trading Rules Profitable in Exchange-Traded Funds?. Technology and Investment, 2, 129-133. doi: 10.4236/ti.2011.22013.