Today, Woglom gave me some feedback on how to improve upon my Lit Review. One of the key points I plan to add to my paper is Malkiel's finding that mutual funds didn't beat market returns (i.e. index funds), and taking into account load fees and commissions, they actually tended to perform worse. This week I will doing more background research to make sure my thesis hasn't already been done by someone else. Also, later this week another draft of the Thesis Proposal will be due.
I will take a look at some historical stock market data of the Hang Seng Index and the iShares Hong Kong ETF which I pulled off of Yahoo Finance and Google Finance, respectively. Hopefully I will remember enough econometrics from a few years ago to study their returns.
Note: To view these files, right click on the links and save them to your computer. You can open .csv files with Excel.
Note 2: My previous suggestion on saving and viewing this file actually doesn't seem to work. I will get it fixed as soon as I can.
Note 3: After you right click and choose to save, if you change the file extension from .htm to .csv, that should do it.
Due to Fall break, our usual Monday meeting was pushed back to today (Wednesday). Some topics we discussed include: 1) outlining what points need to be covered in the Literature Review, 2) looking further into the trading rules discussed in Foreign Exchange AMH case study paper, and 3) reading more about the Hong Kong stock exchange and potential changes that may have caused significant fluctuations in the efficiency of the market. This is going to be a very busy 3-day week for me, because there are tons of assignments coming due.
Not much to add here for this week... Prof. Woglom was very excited about this case study paper I found which applies the AMH principles and looks at how the Foreign Exchange. There were apparently many papers written about how certain technical trading strategies were consistently profitable (beating market returns) in the foreign exchange market. The paper looks whether or not the evidence was a product of data mining, and whether or not AMH provides a better explanation for this phenomena.
I met with Prof. Woglom today to narrow down the paper topic. We settled on trying to adopt this one test we found in Andrew Lo's AMH paper (see below) and apply it on multiple stock exchanges. First I will find any data I can about other stock exchanges (London, HK, China, etc.). I plan to then run a test on the monthly returns of the stock index and to examine the first-order autocorrelation coefficients as a way to measure the efficiency of the market. Another thing I plan to do is look for and read some case study papers on AMH (there's at least one I know of).