Tests Of Technical Trading Rule Profitability In Australian Financial Markets

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Tests of Technical Trading Rule Profitability in Australian Financial Markets

Author : Jung-Soo Park
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Tests of Technical Trading Rule Profitability in Australian Financial Markets by : Jung-Soo Park

Download or read book Tests of Technical Trading Rule Profitability in Australian Financial Markets written by Jung-Soo Park and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets. Size distortions due to data-snooping are avoided by using the Reality Check test of White (2000) and the Superior Predictive Ability test of Hansen (2005). We find no evidence that technical trading rules provide trading profits in excess of those available from a simple buy-and-hold strategy.

A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange

Download A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange PDF Online Free

Author : Elaine Loh
Publisher :
ISBN 13 :
Total Pages : 466 pages
Book Rating : 4.:/5 (224 download)

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Book Synopsis A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange by : Elaine Loh

Download or read book A Comparative Study of Technical Trading Rules, Time-series Trading Rules and Combined Technical and Time-series Trading Strategies in the Australian Stock Exchange written by Elaine Loh and published by . This book was released on 2005 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.

Technical Trading Rule Profitability and Foreign Exchange Intervention

Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)

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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.

Technical Trading Rules and Financial Markets

Author : David H. Goldbaum
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Technical Trading Rules and Financial Markets by : David H. Goldbaum

Download or read book Technical Trading Rules and Financial Markets written by David H. Goldbaum and published by . This book was released on 1996 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistical Testing of Technical Trading Rule Profitability

Author : Jung-Soo Park
Publisher :
ISBN 13 :
Total Pages : 157 pages
Book Rating : 4.:/5 (966 download)

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Book Synopsis Statistical Testing of Technical Trading Rule Profitability by : Jung-Soo Park

Download or read book Statistical Testing of Technical Trading Rule Profitability written by Jung-Soo Park and published by . This book was released on 2016 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 6 summarizes the key findings of this thesis along with some recommendations for future research.

The Profitability of Technical Trading Rules in United States Futures Markets

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)

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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:

The Profitability of Trading Rules and Volatility in Emerging Financial Markets

Author : Imad Moosa A
Publisher : ICFAI Books
ISBN 13 : 8131407179
Total Pages : 222 pages
Book Rating : 4.1/5 (314 download)

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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

Tests of Technical Trading Rules in the Asian-Pacific Equity Markets

Author : Camillo Lento
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Tests of Technical Trading Rules in the Asian-Pacific Equity Markets by : Camillo Lento

Download or read book Tests of Technical Trading Rules in the Asian-Pacific Equity Markets written by Camillo Lento and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the effectiveness of nine technical trading rules in eight Asian-Pacific equity markets for periods ranging from January 1987 to November 2005. The annualized returns from each trading rule are compared to a naive buy-and-hold strategy to determine profitability. The TSEC, Straits Times, Hang Seng, Jakarta, KOSPI and the BSE emerge as equity markets where technical trading rules may be profitable. There is no evidence of profitability for the other two markets, the Nikkei and the All Ordinaries. The results reveal that 56 out of the 72 (77.8 per cent) trading rule variants tested on all data sets, disregarding statistical significance, were profitable after accounting for transaction costs. The results are important as they provide investors with information about the Asian-Pacific equity markets that can be used to determine optimal asset allocations and to further diversify portfolios.

Profit-making Speculation In Foreign Exchange Markets

Author : Patchara Surajaras
Publisher : Routledge
ISBN 13 : 1000236420
Total Pages : 295 pages
Book Rating : 4.0/5 (2 download)

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Book Synopsis Profit-making Speculation In Foreign Exchange Markets by : Patchara Surajaras

Download or read book Profit-making Speculation In Foreign Exchange Markets written by Patchara Surajaras and published by Routledge. This book was released on 2019-09-05 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technical analysis is not supposed consistently to beat financial markets. In this book, however, Professors Surajaras and Sweeney seek to establish that carefully chosen rules can produce substantial and consistent measured profits over time. The authors also call into question the traditional academic wisdom that markets in general are efficient.

Advanced Trading Rules

Author : Emmanual Acar
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750655163
Total Pages : 474 pages
Book Rating : 4.6/5 (551 download)

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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

Statistical Analysis of Some Technical Trading Rules in Financial Markets

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (69 download)

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Book Synopsis Statistical Analysis of Some Technical Trading Rules in Financial Markets by :

Download or read book Statistical Analysis of Some Technical Trading Rules in Financial Markets written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistical Analysis of Some Technical Trading Rules in Financial Markets

Author : Hon-chuen Yam
Publisher :
ISBN 13 :
Total Pages : 396 pages
Book Rating : 4.:/5 (513 download)

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Book Synopsis Statistical Analysis of Some Technical Trading Rules in Financial Markets by : Hon-chuen Yam

Download or read book Statistical Analysis of Some Technical Trading Rules in Financial Markets written by Hon-chuen Yam and published by . This book was released on 1996 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Profitability of Technical Trading Rules in Us Futures Markets

Author : Cheol-Ho Park
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (129 download)

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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.

A Test of Market Efficiency: a Technical Trading Rule

Author : Joseph H. Kozloff
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (843 download)

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Book Synopsis A Test of Market Efficiency: a Technical Trading Rule by : Joseph H. Kozloff

Download or read book A Test of Market Efficiency: a Technical Trading Rule written by Joseph H. Kozloff and published by . This book was released on 1982 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Technical Trading Rules and Market Efficiency

Author : Elaine Loh
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (591 download)

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Book Synopsis Technical Trading Rules and Market Efficiency by : Elaine Loh

Download or read book Technical Trading Rules and Market Efficiency written by Elaine Loh and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Technical Trading-Rule Profitability, Data Snooping, and Reality Check

Author : Min Qi
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Technical Trading-Rule Profitability, Data Snooping, and Reality Check by : Min Qi

Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.

Technical Analysis

Author : Charles D. Kirkpatrick II
Publisher : FT Press
ISBN 13 : 0134137167
Total Pages : 1074 pages
Book Rating : 4.1/5 (341 download)

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Book Synopsis Technical Analysis by : Charles D. Kirkpatrick II

Download or read book Technical Analysis written by Charles D. Kirkpatrick II and published by FT Press. This book was released on 2015-10-13 with total page 1074 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master technical analysis, step-by-step! Already the field's most comprehensive, reliable, and objective introduction, this guidebook has been thoroughly updated to reflect the field's latest advances. Selected by the Market Technicians Association as the official companion to its prestigious Chartered Market Technician (CMT) program, Technical Analysis, Third Edition systematically explains the theory of technical analysis, presenting academic evidence both for and against it. Using hundreds of fully updated illustrations and examples, the authors explain the analysis of both markets and individual issues, and present complete investment systems and portfolio management plans. They present authoritative, up-to-date coverage of tested sentiment, momentum indicators, seasonal effects, flow of funds, testing systems, risk mitigation strategies, and many other topics. Offering 30% new coverage, Technical Analysis, Third Edition thoroughly addresses recent advances in pattern recognition, market analysis, systems management, and confidence testing; Kagi, Renko, Kase, Ichimoku, Clouds, and DeMark indicators; innovations in exit stops, portfolio selection, and testing; implications of behavioral bias, and the recent performance of old formulas and methods. For traders, researchers, and serious investors alike, this is the definitive guide to profiting from technical analysis.