Intermarket timing in equity investments: Hong Kong versus Singapore

Abstract

Market timing offers an attractive alternative to buying‐and‐holding assets if the investors can predict market movements accurately. The objective of this paper is to test the profitability of market timing between two national equity markets and to determine the required level of predictive accuracy for such a venture to pay off. Hong Kong and Singapore stock markets are chosen due to the likeliness for investors to switch investments between these two markets. Three different frequencies of portfolio revision together with three levels of transaction costs are employed in the test. The results reveal that portfolios, that are revised every quarter, display the most likelihood of achieving profits greater than that of a buy‐and‐hold strategy. However, the required level of predictive accuracy may still be beyond the reach of most of the investors.

Citation

Wong, K.A. and Tai, L.S. (2000), "Intermarket timing in equity investments: Hong Kong versus Singapore", Journal of Economic Studies, Vol. 27 No. 6, pp. 525-540. https://doi.org/10.1108/01443580010354435