Are Trading Rules Profitable in Exchange-Traded Funds?
Terence Tai-Leung Chong, Elton Hei-Tung Li, Kenneth Tak-Kan Kong
DOI: 10.4236/ti.2011.22013   PDF    HTML     4,794 Downloads   9,235 Views   Citations


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.

Share and Cite:

T. Chong, E. Li and K. Kong, "Are Trading Rules Profitable in Exchange-Traded Funds?," Technology and Investment, Vol. 2 No. 2, 2011, pp. 129-133. doi: 10.4236/ti.2011.22013.

Conflicts of Interest

The authors declare no conflicts of interest.


[1] L. Carrel, “ETFs for the Long Run: What They Are, How They Work, and Simple Strategies for Successful Long-Term Investing,” Wiley, New York, 2008.
[2] D. Wagner, “Trading ETFs: Gaining an Edge with Technical Analysis (Bloomberg Market Essentials: Technical Analysis),” Bloomberg Press, New York, 2008.
[3] W. W. H. Tsang and T. T. L. Chong, “Profitability of the On-Balance Volume Indicator,” Economics Bulletin, Vol. 29, No. 3, 2009, pp. 2424-2431.
[4] J. H. Poterba and J. B. Shoven, “Exchange-Traded Funds: A New Investment Option for Taxable Investors,” American Economic Review, Vol. 92, No. 2, 2002, pp. 422-427. doi:10.1257/000282802320191732
[5] W. J. Trainor Jr., “Do Leveraged ETFs Increase Volatility,” Technology and Investment, Vol. 1, No. 3, 2010, pp. 215-220. doi:10.4236/ti.2010.13026
[6] W. Brock, J. Lakonishok and B. LeBaron, “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,” Journal of Finance, Vol. 47, No. 5, 1992, pp. 1731-1764. doi:10.2307/2328994

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.