Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study.

2017 ◽  
Vol 11 (1) ◽  
pp. 1-26
Author(s):  
Efstathios Xanthopoulos ◽  
Konstantinos Aravossis ◽  
Spyros Papathanasiou
Keyword(s):  
Stock Exchange ◽  
Statistical Tests ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Trading Strategies ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Greek Crisis ◽  
Athens Stock Exchange

This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.

scholarly journals Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange

2020 ◽  
Vol 12 (2) ◽  
pp. 165-176
Author(s):  
Muhammad Arif ◽  
Abdul Rauf Laghari ◽  
Avinash Advani
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Predictive Ability ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Future Studies ◽  
Portfolio Returns

This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We applied Han, Yang, and Zhou (2013), methodology to individual stock returns and found inconclusive evidence of MA timing strategy’s predictive ability to earn higher returns over buy and hold strategy. We also report market risk-adjusted returns to remove any market movement effects and apply alternative moving averages lag lengths to check the robustness of our results. We observe individual stock returns are noisier than portfolio returns and the simple technical trading rule of moving average lack the ability to predict individual stock returns. We propose the use of more complex trading rules in future studies to ascertain the profitability of technical trading rules in individual stocks.

scholarly journals Profitability of The Moving Averages Technical Trading Rules in an Emerging Stock Market-A Study of Individual Stocks Listed On Pakistan Stock Exchange

2018 ◽  
Vol 14 (2) ◽  
pp. 67-76
Author(s):  
Muhammad Arif ◽  
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Market Development ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Portfolio Returns

This paper investigates the gainfulness of moving averages (MA) timing method over the purchase and hold procedure for single stocks deal in Pakistan Stock Exchange. We used (Han et al., 2013) approach of single stock returns and indeterminate evidence of MA timing methodology insightful ability to increase higher returns over the strategy of purchase and hold. In addition, we report market risk-adjusted returns to expel any market development impacts and apply elective moving averages lag lengths to check the robustness of our outcomes. We look at that individual stock returns are noisier than portfolio returns and the fundamental technical exchanging principle of moving average don't be able to anticipate single stock returns. We propose the utilization of more perplexing trading rules in future investigations to determine the gainfulness of technical trading rules in individual stocks.

scholarly journals The Predictability and profitability of Trading Range Break-out Trading Rules: Evidence from Pakistan Stock Exchange

2021 ◽  
Vol 6 (1) ◽  
pp. 209-215
Author(s):  
Syed Arshad Ali Shah ◽  
Dr.Anwarul Mujahid Shah ◽  
Dr.Saiful Mujahid shah
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Strong Support ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Share Prices ◽  
Academic Literature

The efficient market hypothesis has been one of themost extensively researched topics in the academic literature for decades. An implication ofweak form of efficiency is that the technical trading rules will not produce abnormal returns. The purpose of this research is to analyze findings of application of trading range breakout test on daily closing share prices of 100 companies listed on a Pakistan Stock Exchange over ten years from 2006 to 2015,thus examining its efficiency at the weak form. The results show strong support for trading range break-out rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of the trading range break-out rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

scholarly journals Market Efficiency For S&P 500: 1954-2004

2011 ◽  
Vol 4 (7) ◽  
Author(s):  
Massoud Metghalchi ◽  
Xavier Garza-Gomez ◽  
Chien-Ping Chen ◽  
Stanley Monsef
Keyword(s):  
Market Efficiency ◽  
Predictive Power ◽  
Moving Average ◽  
Stock Index ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Daily Data ◽  
Market Inefficiency ◽  
Price Patterns

This paper tests three moving average technical trading rules for the S&P 500 stock index. Using daily data from 1954 to 2004, our results indicate that moving average rules did indeed had predictive power and could discern recurring-price patterns for the period up to mid 1980s. However, since mid 1980s, technical trading rules do not work and could not discern recurring-price patterns. Our results are consistent with market inefficiency from 1954 to 1984 and market efficiency from 1984 to present.

scholarly journals Moving Average Trading Rules for NASDAQ Composite Index

2016 ◽  
Vol 5 (2) ◽  
Author(s):  
Chien-Ping Chen
Keyword(s):  
Transaction Costs ◽  
Predictive Power ◽  
Moving Average ◽  
Composite Index ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Nasdaq Composite Index

This paper tests a few moving average technical trading rules for the NASDAQ Composite and Goldman Sack commodity indexes from 1972 to 2015. Our results indicate that moving average rules do exhibit strong predictive power for NADSAQ composite index but much weaker predictive power for GSCI. Can a trader use this predictive to beat the B&H strategy? We show that MA-100 days could most of the time make an abnormal profit in the case of NASDAQ composite index by considering both transaction costs and risk. 

scholarly journals The Profitability Of Technical Trading Rules: A Combined Signal Approach

2011 ◽  
Vol 23 (1) ◽  
Author(s):  
Camillo Lento ◽  
Nikola Gradojevic
Keyword(s):  
Exchange Rate ◽  
Moving Average ◽  
Composite Index ◽  
Font Size ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Nasdaq Composite Index ◽  
Spot Exchange Rate ◽  
Filter Rules

<p class="MsoNormal" style="text-align: justify; margin: 0in 34.2pt 0pt 0.5in; mso-layout-grid-align: none;"><span style="font-family: Times New Roman;"><span style="font-size: 10pt; mso-bidi-font-style: italic;" lang="EN-CA">The focus of this paper is to determine the profitability of technical trading rules by evaluating their ability to outperform the na&iuml;ve buy-and-hold trading strategy. Moving average cross-over rules, filter rules, Bollinger Bands, and trading range break-out rules are tested on the </span><span style="font-size: 10pt;" lang="EN-CA">S&amp;P/TSX 300 Index, the Dow Jones Industrial Average Index, NASDAQ Composite Index, and the Canada/U.S. spot exchange rate<span style="mso-bidi-font-style: italic;">. After accounting for transaction costs, excess returns are generated by the moving average cross-over rules and trading range break-out rules for the </span>S&amp;P/TSX 300 Index<span style="mso-bidi-font-style: italic;">, </span>NASDAQ Composite Index and the Canada/U.S. spot exchange rate<span style="mso-bidi-font-style: italic;">. Filter rules also earn excess returns when applied on the Canada/U.S. spot exchange rate. The bootstrap methodology is used to determine the statistical significance of the results. The profitability of the technical trading rules is further enhanced with a combined signal approach.</span></span></span></p>

scholarly journals Profitable Technical Trading Rules For The Austrian Stock Market

2011 ◽  
Vol 6 (9) ◽  
Author(s):  
Massoud Metghalchi ◽  
Yong Glasure ◽  
Xavier Garza-Gomez ◽  
Chien Chen
Keyword(s):  
Stock Market ◽  
Predictive Power ◽  
Moving Average ◽  
Trading Costs ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
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.

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