ABSTRACT

This paper tests for the ability of a variety of technical indicators to generate excess returns at the individual stock level in the seven emerging and frontier markets of the Gulf region. While technical indicators show some early profitability promise, after controlling for the data snooping bias using the False Discovery Rate (FDR) methodology and non-synchronous trading, we fail to find any predictive ability or profitability for technical analysis. We arrive at a similar finding when assessing the risk-adjusted performance of a portfolio composed of stocks chosen based on technical indicators. The findings go to show the failure of technical analysis on the stock level. The findings are also evidence of the Gulf region markets being at least weak-form efficient and carry implications for investors choice of investment tools.

摘要

本文测试了多种技术指标在海湾地区七个新兴和前沿市场中个股层面产生超额收益的能力。虽然技术指标显示了一些早期的盈利前景，但在使用错误发现率 (FDR) 方法和非同步交易控制数据窥探偏差后，我们未能找到任何技术分析的预测能力或盈利能力。在评估由基于技术指标选择的股票组成的投资组合的风险调整表现时，我们得出了类似的发现。调查结果表明库存水平上的技术分析失败。调查结果也证明海湾地区市场至少是弱形式有效的，并对投资者选择投资工具产生影响。