Back to the Future. A Behavioural Perspective on Technical Analysis into PIGS Countries

Annals of Management Science Vol. 4, No. 1, July 2015, 67-88

22 Pages Posted: 27 Aug 2015 Last revised: 1 Dec 2015

See all articles by Spyros Papathanasiou

Spyros Papathanasiou

National and Kapodistrian University of Athens

Dimitrios Vasiliou

National and Kapodistrian University of Athens

Nikolaos Eriotis

National and Kapodistrian University of Athens

Date Written: 2015

Abstract

In this paper, we investigate the possible presence of the behavioural phenomenon in the stock markets of some members of the European Union who are historically known as PIGS (Portugal, Italy, Greece and Spain). We used technical analyses methods and rules to explain behavioural phenomenon in the examined stoch markets. We use different types of moving average technical rules. We perform some further analyses and tests. In our further analyses, we apply standard t-tests in combination with bootstrap methodology under the GARCH (1,1) null model. Overall, the results obtained in the paper show that our technical strategies (buy and hold) “win” the market and that there is a presence of European phenomenon in the PIGS stock markets. In addition, we document significant excess returns for moving average trading strategies and reject the weak-form efficient market hypothesis of Fama (1965).

Keywords: Behavioural Finance, GARCH(1,1) Technical Analysis, Bootstrap, Matlab, PIGS.

Suggested Citation

Papathanasiou, Spyros and Vasiliou, Dimitrios and Eriotis, Nikolaos, Back to the Future. A Behavioural Perspective on Technical Analysis into PIGS Countries (2015). Annals of Management Science Vol. 4, No. 1, July 2015, 67-88 , Available at SSRN: https://ssrn.com/abstract=2651041

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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

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