Technical analysis profitability and persistence : a discrete false discovery approach on MSCI indices
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.
Citation
Sermpinis , G , Hassanniakalager , A , Stasinakis , C & Psaradellis , I 2021 , ' Technical analysis profitability and persistence : a discrete false discovery approach on MSCI indices ' , Journal of International Financial Markets, Institutions and Money , vol. 73 , 101353 . https://doi.org/10.1016/j.intfin.2021.101353
Publication
Journal of International Financial Markets, Institutions and Money
Status
Peer reviewed
ISSN
1042-4431Type
Journal article
Collections
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