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

The Journal of Prediction Markets, 11 (1): 1-26, 2017

35 Pages Posted: 1 Jun 2017 Last revised: 7 Jun 2017

See all articles by Efstathios Xanthopoulos

Efstathios Xanthopoulos

National Technical University of Athens (NTUA)

Konstantinos Aravossis

Independent

Spyros Papathanasiou

National and Kapodistrian University of Athens

Date Written: May 30, 2017

Abstract

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.

Keywords: Athens Stock Exchange, Trading Strategies, Fast Fourier Transform, Bootstrap, Statistical tests, Greek Crisis

JEL Classification: G11, G12, G14

Suggested Citation

Xanthopoulos, Efstathios and Aravossis, Konstantinos and Papathanasiou, Spyros, Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study (May 30, 2017). The Journal of Prediction Markets, 11 (1): 1-26, 2017, Available at SSRN: https://ssrn.com/abstract=2975710

Efstathios Xanthopoulos

National Technical University of Athens (NTUA) ( email )

Athens
Greece

Spyros Papathanasiou (Contact Author)

National and Kapodistrian University of Athens ( email )

1, Sofokleous Str.
Athens, 10559
Greece

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