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

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Date
07/2021
Author
Sermpinis, Georgios
Hassanniakalager, Arman
Stasinakis, Charalampos
Psaradellis, Ioannis
Keywords
False Discovery Rate
Technical analysis
Bootstrap/resampling
Trading
HG Finance
3rd-DAS
AC
Metadata
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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.
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
DOI
https://doi.org/10.1016/j.intfin.2021.101353
ISSN
1042-4431
Type
Journal article
Rights
Crown Copyright © 2021 Published by Elsevier B.V. All rights reserved. This work has been made available online in accordance with publisher policies or with permission. Permission for further reuse of this content should be sought from the publisher or the rights holder. This is the author created accepted manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.intfin.2021.101353
Collections
  • University of St Andrews Research
URI
http://hdl.handle.net/10023/25447

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