Profitability of Technical Trading Rules in an Emerging Market

The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets, McGraw-Hill, NYC, NY, chapter 7, Editor: Greg Gregoriou pp 98-111. 2010

Posted: 12 Sep 2014

See all articles by Dimitris Kenourgios

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Spyros Papathanasiou

National and Kapodistrian University of Athens

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Date Written: 2010

Abstract

This chapter investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE 20 index during the period 1995 to 2008. We focus on a less developed and efficient stock market, given the existing scarcity of research in such markets. The technical rules that will be explored are simple moving averages. We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t test and bootstrap methodology under the generalized autoregressive conditional heteroscedasticity model. The results provide strong evidence on the profitability of the technical trading rules against the “buy and hold” strategy and contradict the efficient market hypothesis.

Suggested Citation

Kenourgios, Dimitris and Papathanasiou, Spyros, Profitability of Technical Trading Rules in an Emerging Market (2010). The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets, McGraw-Hill, NYC, NY, chapter 7, Editor: Greg Gregoriou pp 98-111. 2010, Available at SSRN: https://ssrn.com/abstract=2494818

Dimitris Kenourgios (Contact Author)

National and Kapodistrian University of Athens - Department of Economics ( email )

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Office 521
Athens, 10559
Greece
+30 210 3689449 (Phone)

Spyros Papathanasiou

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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