Profits from Technical Trading Rules: The Case of Cyprus Stock Exchange

Journal of Money, Investment and Banking, Issue 13, pp 35-43 (2010)

15 Pages Posted: 11 Sep 2014

See all articles by Spyros Papathanasiou

Spyros Papathanasiou

National and Kapodistrian University of Athens

Aristeidis Samitas

University of the Aegean

Date Written: 2010

Abstract

We examine the performance of various types of technical trading rules in the emerging Cyprus Stock Market (CSE). Furthermore, we examine the predictability of daily returns for the CSE with respect to the extent that the technical analysis method of moving averages can win the buy-and-hold policy. Also, we further our analysis via the bootstrap methodology under the model of EGARCH. This study becomes necessary given the important changes, which Cyprus is going through since joining the European Union on May 1 May 2004 and as it is preparing for the adoption of the Euro as its currency.

Keywords: EGARCH, moving averages, bootstrap, Eurozone

JEL Classification: G12, G14

Suggested Citation

Papathanasiou, Spyros and Samitas, Aristeidis, Profits from Technical Trading Rules: The Case of Cyprus Stock Exchange (2010). Journal of Money, Investment and Banking, Issue 13, pp 35-43 (2010) , Available at SSRN: https://ssrn.com/abstract=2494227

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

Aristeidis Samitas

University of the Aegean ( email )

8 Michalon str.
Chios
Greece

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