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Technical analysis profitability and persistence : a discrete false discovery approach on MSCI indices
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dc.contributor.author | Sermpinis, Georgios | |
dc.contributor.author | Hassanniakalager, Arman | |
dc.contributor.author | Stasinakis, Charalampos | |
dc.contributor.author | Psaradellis, Ioannis | |
dc.date.accessioned | 2022-05-24T23:43:03Z | |
dc.date.available | 2022-05-24T23:43:03Z | |
dc.date.issued | 2021-07 | |
dc.identifier | 274345286 | |
dc.identifier | 0d1166c9-60b7-4752-b067-b7fa7393543e | |
dc.identifier | 85106928813 | |
dc.identifier | 000680235100006 | |
dc.identifier.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 | en |
dc.identifier.issn | 1042-4431 | |
dc.identifier.other | RIS: urn:349B1BCCD0312AD89B18B2631A9EFB4D | |
dc.identifier.other | ORCID: /0000-0002-7628-8931/work/94669893 | |
dc.identifier.uri | https://hdl.handle.net/10023/25447 | |
dc.description.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. | |
dc.format.extent | 579943 | |
dc.language.iso | eng | |
dc.relation.ispartof | Journal of International Financial Markets, Institutions and Money | en |
dc.subject | False Discovery Rate | en |
dc.subject | Technical analysis | en |
dc.subject | Bootstrap/resampling | en |
dc.subject | Trading | en |
dc.subject | HG Finance | en |
dc.subject | 3rd-DAS | en |
dc.subject | AC | en |
dc.subject.lcc | HG | en |
dc.title | Technical analysis profitability and persistence : a discrete false discovery approach on MSCI indices | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.contributor.institution | University of St Andrews. Finance (Business School) | en |
dc.identifier.doi | https://doi.org/10.1016/j.intfin.2021.101353 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2022-05-25 |
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