Technical Trading Profitability in Greek Stock Market

The Empirical Economics Letters, 7(7), pp 749-756, 2008.

14 Pages Posted: 11 Sep 2014

See all articles by Dimitrios Vasiliou

Dimitrios Vasiliou

National and Kapodistrian University of Athens

Nikolaos Eriotis

National and Kapodistrian University of Athens

Spyros Papathanasiou

National and Kapodistrian University of Athens

Date Written: 2008

Abstract

We examine the performance of various types of technical trading rules in the Athens Stock Exchange (ASE). In particular, this study examines the predictability of daily returns for the ASE by using the various moving averages rules. Due to the problem of non-normality on distribution of the abnormal returns identified, the bootstrap methodology under the null models of AR(1) and GARCH(1,1) is proposed. Overall, our results provide strong support for the examined technical strategies.

Keywords: GARCH(1,1), AR(1), moving averages, bootstrap

JEL Classification: G12, G14

Suggested Citation

Vasiliou, Dimitrios and Eriotis, Nikolaos and Papathanasiou, Spyros, Technical Trading Profitability in Greek Stock Market (2008). The Empirical Economics Letters, 7(7), pp 749-756, 2008. , Available at SSRN: https://ssrn.com/abstract=2494210

Dimitrios Vasiliou

National and Kapodistrian University of Athens ( email )

Athenes
Greece
0030 210 3689486 (Phone)

Nikolaos Eriotis

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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