A new recognition algorithm for “head-and-shoulders” price patterns

Two moving average technical trading rules for the Austrian stock market are tested. Results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading. Results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be between .61 and 2.36 %. These break-even costs are larger than recent estimates of actual trading costs, implying profitable trading rules for the Austrian stock market.

Download Full-text

What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Swiss Journal of Economics and Statistics ◽

10.1186/s41937-019-0045-3 ◽

2019 ◽

Vol 155 (1) ◽

Author(s):

David R. Haab ◽

Thomas Nitschka

Keyword(s):

Stock Market ◽

Predictive Power ◽

Bond Market ◽

Asset Markets ◽

Market Returns ◽

Stock Market Returns ◽

Asset Return ◽

The Us ◽

Out Of Sample ◽

Sample Test

AbstractMotivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market (“Goliath vs David” (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and Switzerland differ markedly. Forecasting Swiss asset returns hence constitutes a challenging “out-of-sample” test for GVD. Over the sample period from January 1999 to December 2017, we find that the Swiss version of GVD exhibits predictive power for Swiss stock and bond market returns even in the presence of global predictors. However, Swiss bond market returns are best predicted by the US term spread.

Download Full-text

Are Moving Average Trading Rules Profitable? Evidence From The Mexican Stock Market

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v24i1.1372 ◽

2011 ◽

Vol 24 (1) ◽

Author(s):

Massoud Metghalchi ◽

Xavier Garza-Gomez ◽

Yong Glasure ◽

Yung-Ho Chang

Keyword(s):

Stock Market ◽

Transaction Costs ◽

Predictive Power ◽

Moving Average ◽

Trading Costs ◽

Font Size ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Price Patterns

This paper tests three moving average technical trading rules for the Mexican Stock Market. Results indicate that moving average rules do indeed have predictive power and can discern recurring-price patterns for profitable trading and support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be in the range of 1% to 3% over the period under consideration. These break-even costs, we believe, are large compared to recent estimates of actual trading costs, implying that moving average trading rules have predictive power and can generate consistent profits even after transaction costs are considered.

Download Full-text

The Impact of Monetary and Fiscal Policies on the Stock Market in the United States (U.S); Evidence from Linear ARDL Framework

11th GLOBAL CONFERENCE ON BUSINESS AND SOCIAL SCIENCES - Global Conference on Business and Social Sciences Proceeding ◽

10.35609/gcbssproceeding.2020.11(132) ◽

2020 ◽

Vol 11 (1) ◽

pp. 132-132

Author(s):

Aref Emamian

Keyword(s):

United States ◽

Stock Market ◽

The United States ◽

Real Effective Exchange Rate ◽

Annual Data ◽

Fiscal Policies ◽

Long Run ◽

The Us ◽

Short Run ◽

The Impact

This study examines the impact of monetary and fiscal policies on the stock market in the United States (US), were used. By employing the method of Autoregressive Distributed Lags (ARDL) developed by Pesaran et al. (2001). Annual data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, the results show that both policies play a significant role in the stock market. We find a significant positive effect of real Gross Domestic Product and the interest rate on the US stock market in the long run and significant negative relationship effect of Consumer Price Index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Keywords: ARDL, monetary policy, fiscal policy, stock market, United States

Download Full-text

Impact of ESG Investors on Stock Market Short-Termism: Empirical Evidence from the US, Europe and Japan

SSRN Electronic Journal ◽

10.2139/ssrn.2388416 ◽

2013 ◽

Author(s):

Toshikazu Hayashi

Keyword(s):

Stock Market ◽

Empirical Evidence ◽

The Us ◽

Short Termism

Download Full-text

Measures of Stock Market Value and Returns for the US Nonfinancial Corporate Sector, 1900-2000

SSRN Electronic Journal ◽

10.2139/ssrn.298039 ◽

2002 ◽

Cited By ~ 4

Author(s):

Stephen H. Wright

Keyword(s):

Stock Market ◽

Market Value ◽

Corporate Sector ◽

The Us

Download Full-text

The Effects of the US-China Trade Dispute on the Asymmetric Volatility in the Stock Market: An Investigation of EGARCH Model Analysis

2020 2nd International Conference on Economic Management and Model Engineering (ICEMME) ◽

10.1109/icemme51517.2020.00073 ◽

2020 ◽

Author(s):

Siqi Chen ◽

Jinho Jeong

Keyword(s):

Stock Market ◽

Model Analysis ◽

Asymmetric Volatility ◽

Trade Dispute ◽

China Trade ◽

The Us ◽

Egarch Model

Download Full-text

Absence of the weekend effect and industry-style portfolios

Journal of Financial Economic Policy ◽

10.1108/jfep-04-2019-0066 ◽

2019 ◽

Vol 12 (4) ◽

pp. 463-475

Author(s):

Selma Izadi ◽

Abdullah Noman

Keyword(s):

New York ◽

Stock Market ◽

Structural Breaks ◽

Stock Exchange ◽

Structural Break ◽

Weekend Effect ◽

Content Type ◽

Market Portfolio ◽

The Us ◽

Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

Download Full-text

Defeating the Minotaur: The Construction of CEO Charisma on the US Stock Market

Organization Studies ◽

10.1177/0170840606061070 ◽

2006 ◽

Vol 27 (6) ◽

pp. 811-832 ◽

Cited By ~ 31

Author(s):

Angelo Fanelli ◽

Nora Ilona Grasselli

Keyword(s):

Stock Market ◽

Charismatic Leadership ◽

Top Down ◽

Active Involvement ◽

Securities Analysts ◽

The Us ◽

Organizational Symbolism ◽

The Usa ◽

Ceo Successions ◽

Securities Analyst

This paper illustrates the construction of CEO charisma within the US stock market. By metaphorically employing the myth of the Minotaur, we discuss three forces underlying the rise of heroic CEO images in the USA: Ariadne, or charismatic leadership theory and its formulation of charisma; Theseus, or the CEOs struggling to obtain power over stock market actors; and the Minotaur, or the stock market itself and the securities analyst profession. Building on the literature on organizational symbolism, we present a qualitative study of two CEO successions, focusing on the form and content of the persona and the vision projected by CEOs and elaborated by securities analysts. The results suggest that jointly constructing charisma through discourse, CEOs and analysts enact a form of power that does not lie in top-down coercion, but rather on the emergent, active involvement and contribution of its very subjects.

Download Full-text