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Profitability Of Technical Trading Rules In An Emerging Market
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Book Synopsis Profitability of Technical Trading Rules in an Emerging Market by : Dimitris Kenourgios
Download or read book Profitability of Technical Trading Rules in an Emerging Market written by Dimitris Kenourgios and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE 20 index during the period 1995 to 2008. We focus on a less developed and efficient stock market, given the existing scarcity of research in such markets. The technical rules that will be explored are simple moving averages. We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t test and bootstrap methodology under the generalized autoregressive conditional heteroscedasticity model. The results provide strong evidence on the profitability of the technical trading rules against the “buy and hold” strategy and contradict the efficient market hypothesis.
Book Synopsis The Profitability of Trading Rules and Volatility in Emerging Financial Markets by : Imad Moosa A
Download or read book The Profitability of Trading Rules and Volatility in Emerging Financial Markets written by Imad Moosa A and published by ICFAI Books. This book was released on 2007-07-19 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a study of the profitability of technical and fundamental trading rules in emerging financial markets (stock and foreign exchange markets) using Kuwait as a case study. The ultimate objective of the study is to demonstrate that financial vola
Book Synopsis Advanced Trading Rules by : Emmanual Acar
Download or read book Advanced Trading Rules written by Emmanual Acar and published by Elsevier. This book was released on 2002-05-23 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. - The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers - Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation - Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
Book Synopsis The Profitability of Technical Trading Rules in US Futures Markets by : Cheol-Ho Park
Download or read book The Profitability of Technical Trading Rules in US Futures Markets written by Cheol-Ho Park and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Profitability of Technical Trading Rules in United States Futures Markets by :
Download or read book The Profitability of Technical Trading Rules in United States Futures Markets written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Analysis Around the World by : Ben R. Marshall
Download or read book Technical Analysis Around the World written by Ben R. Marshall and published by . This book was released on 2011 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over 5,000 popular technical trading rules are not consistently profitable in the 49 country indices that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. Each market has some rules that are profitable when considered in isolation but these profits are not statistically significant after data snooping bias adjustment. There is some evidence that technical trading rules perform better in emerging markets than developed markets, which is consistent with the finding of previous studies that these markets are less efficient, but this result is not strong. While we cannot rule out the possibility that these trading rules compliment other market timing techniques or that trading rules we do not test are profitable, we do show that over 5,000 trading rules do not add value beyond what may be expected by chance when used in isolation during the time period we consider.
Book Synopsis The Profitability of Technical Trading Rules in Us Futures Markets by : Cheol-Ho Park
Download or read book The Profitability of Technical Trading Rules in Us Futures Markets written by Cheol-Ho Park and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period.
Book Synopsis The Significance of Technical Trading-rule Profits in the Foreign Exchange Market by : Richard M. Levich
Download or read book The Significance of Technical Trading-rule Profits in the Foreign Exchange Market written by Richard M. Levich and published by . This book was released on 1991 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Examination of the Profitability of Technical Trading Rules in Foreign Exchange Markets by : Ciara Anne Lynch
Download or read book An Empirical Examination of the Profitability of Technical Trading Rules in Foreign Exchange Markets written by Ciara Anne Lynch and published by . This book was released on 2005 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Analysis and Stock Market Profits by : R. Schabacker
Download or read book Technical Analysis and Stock Market Profits written by R. Schabacker and published by Harriman House Limited. This book was released on 2021-02-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Richard W. Schabacker's great work, Technical Analysis and Stock Market Profits, is a worthy addition to any technical analyst's personal library or any market library. His "pioneering research" represents one of the finest works ever produced on technical analysis, and this book remains an example of the highest order of analytical quality and incisive trading wisdom. Originally devised as a practical course for investors, it is as alive, vital and instructional today as the day it was written. It paved the way for Robert Edwards and John Magee's best-selling Technical Analysis of Stock Trends - a debt which is acknowledged in their foreword: 'Part One is based in large part on the pioneer researches and writings of the late Richard Schabacker.'Schabacker presents technical analysis as a totally organized subject and comprehensively lays out the various important patterns, formations, trends, support and resistance areas, and associated supporting technical detail. He presents factors that can be confidently relied on, and gives equal attention to the blemishes and weaknesses that can upset the best of analytical forecasts: Factors which investors would do well to absorb and apply when undertaking the fascinating game of price, time and volume analysis.
Book Synopsis The Predictive Ability and Profitability of Technical Trading Rules by : Hao Yu
Download or read book The Predictive Ability and Profitability of Technical Trading Rules written by Hao Yu and published by . This book was released on 2010 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Trading Rule Profitability and Foreign Exchange Intervention by : Blake LeBaron
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2000 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Book Synopsis Information Diffusion, Transaction Costs, and the Performance of Technical Trading Rules in the Emerging Stock Markets of China by : Steven Shuye Wang
Download or read book Information Diffusion, Transaction Costs, and the Performance of Technical Trading Rules in the Emerging Stock Markets of China written by Steven Shuye Wang and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the performance of technical trading rules in the emerging Chinese stock markets. After controlling for non-synchronous trading and transaction costs, we find significant evidence to support the predictability and profitability of technical rules for Chinese foreign B-shares but not for domestic A-shares. The index returns of B-shares can be explained by one-day-lagged own market trading signals, but not by the trading signals emitted from the corresponding A-share market or from the U.S. market (a proxy for the international market). However, after February 19, 2001, when domestic investors were allowed to trade B-shares, the predictive power of the trading rules in B-share markets disappeared. We conclude that the predictability of technical trading rules in B-share markets can be attributed to the gradual diffusion of information among foreign investors under the foreign share ownership restriction, and, partly, to positive autocorrelations induced by thin trading.
Book Synopsis Market Efficiency and Returns to Simple Technical Trading Rules by : Gary Gang Tian
Download or read book Market Efficiency and Returns to Simple Technical Trading Rules written by Gary Gang Tian and published by . This book was released on 2014 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did by Brock, Lakonishok and LeBaron (1992) and later by Bessembinder and Chan (1998), this paper examines predictive power and profitability of simple trading rules by expanding their universe of 26 rules to 412 rules. In order to find out the relationship between market efficiency and excess return by applying trading rules, we examine excess return over periods in US markets and also compare the excess returns between US market and Chinese markets. Our results found that there is no evidence at all supporting technical forecast power by these trading rules in US equity index after 1975. During the 1990's break-even costs turned to be negative, -0.06%, even failing to beat a buy-holding strategy in US equity market. In comparison, our results provide support for the technical strategies even in the presence of trading cost in Chinese stock markets.
Download or read book Technical Trading written by Po-Hsuan Hsu and published by . This book was released on 2016 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45 years for 30 developed and emerging market currencies. Employing a stepwise test to counter data-snooping bias and examining over 21,000 technical rules, we find evidence of substantial predictability and excess profitability in both developed and emerging currencies, measured against a variety of performance metrics. We cross-validate our results using out-of-sample analysis. We find time-series and cross-sectional variation in sub-periods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity generate technical predictability and potential excess profitability.
Book Synopsis Advanced Trading Rules by : Emmanual Acar
Download or read book Advanced Trading Rules written by Emmanual Acar and published by Butterworth-Heinemann. This book was released on 2002-06-05 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
Book Synopsis On the Profitability of Technical Trading by : Toby Daniel Watson
Download or read book On the Profitability of Technical Trading written by Toby Daniel Watson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The sole use of price and related summary statistics in a technical trading strategy is an anathema to weak-form market efficiency. In practice, however, traders actively use technical analysis to make investment decisions which makes this an important, but often neglected, area for study. This thesis includes four empirical chapters, which provide important evidence on the profitability of technical trading. The results from the detailed analysis undertaken in this thesis have broad relevance to both academics and those in the investment community. Existing research has been predominantly confined to evaluating basic technical trading rules, such as moving averages. Crucially, this ignores chart patterns. Widely employed by practitioners, such patterns form a vital part of technical analysis. As the most important price pattern, the head and shoulders pattern is subjected to detailed and thorough examination in this thesis. A significant contribution is made by evaluating formations recognised and used by traders, in sharp contrast to limited existing studies. Furthermore, a new method is developed to establish how quickly profits from a head and shoulders strategy decay, which has important implications for traders. Existing research has identified both reversal and relative strength effects in financial asset returns. A key separator between these two findings is the formation and holding time over which portfolios of winners and losers are evaluated. Motivated by this, a very large sample of ultra high-frequency data is used to investigate intraday momentum and reversal effects. As well as being an important contribution to research in this field, the results are, once again, of relevance to practitioners. The need for further research into technical analysis is clearly demonstrated by point and figure charting. Whilst traders have made consistent use of the technique for around a century, the amount of existing research is extremely small. Point and figure has attractive data filtering properties, clear trading rules and is particularly suited to intraday technical analysis. Again, using a very large sample of high-frequency data, a detailed evaluation of the profitability of a point and figure trading strategy is undertaken.
