Technical analysis profitability and persistence: a discrete false discovery approach on MSCI indices

Sermpinis, G. , Hassanniakalager, A., Stasinakis, C. and Psaradellis, I. (2021) Technical analysis profitability and persistence: a discrete false discovery approach on MSCI indices. Journal of International Financial Markets, Institutions and Money, 73, 101353. (doi: 10.1016/j.intfin.2021.101353)

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Abstract

We investigate the performance of more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004–2015 study period. For this purpose, we apply a discrete false discovery rate approach in more than 240,000 hypotheses and examine the profitability, persistence and robustness of technical analysis. In terms of our results, technical analysis has short-term value and its profitability is mainly driven by short-term momentum. Financial stress seems to have a strong negative effect in technical analysis profitability for US markets and a strong positive effect for emerging and other advanced markets.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Stasinakis, Dr Charalampos and Hassanniakalager, Arman and Psaradellis, Mr Ioannis and Sermpinis, Professor Georgios
Authors: Sermpinis, G., Hassanniakalager, A., Stasinakis, C., and Psaradellis, I.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of International Financial Markets, Institutions and Money
Publisher:Elsevier
ISSN:1042-4431
ISSN (Online):1873-0612
Published Online:12 May 2021
Copyright Holders:Copyright © 2021 Crown Copyright
First Published:First published in Journal of International Financial Markets, Institutions and Money 73: 101353
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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