Trading with tigers: a technical analysis of Southeast Asian stock index futures

Our paper examines the profitability of technical trading rules in Southeast Asian (SEA) ‘tiger cub’ stock index futures markets during and after the global financial crisis (GFC) of 2007/2008. Using daily closing price data from 2007 to 2012, we explore technical trading rules such as exponential moving averages (EMA (20), EMA (100), EMA (20,100)) and moving average convergence divergence (MACD) in Indonesia, Malaysia, the Philippines and Thailand. The findings reveal that after applying trading rules that account for transaction costs and risk, abnormal profits cannot be achieved above a naı¨ve ‘buy-and-hold’ strategy (with the exception of EMA (100) and EMA (20,100) in Indonesia, and EMA (20,100) in both the Philippines and Thailand). There appears to be some degree of success with the application of longer-term trading rules; however, unless transaction costs can be reduced, investors are best advised to pursue passive investment approaches. Despite the economic uncertainty associated with the GFC and ongoing market volatility, it appears that SEA tiger cub stock index futures markets are weak-form efficient.