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 |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Stasinakis, Professor 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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