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Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices
Journal of International Financial Markets, Institutions & Money ( IF 4.217 ) Pub Date : 2021-05-12 , DOI: 10.1016/j.intfin.2021.101353
Georgios Sermpinis , Arman Hassanniakalager , Charalampos Stasinakis , Ioannis Psaradellis

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.



中文翻译:

技术分析的获利能力和持久性:基于MSCI指数的离散错误发现方法

我们调查了2004-2015年研究期间,在12个分类市场和特定国家/地区市场上,超过21,000条技术交易规则的执行情况。为此,我们在240,000多个假设中应用了离散的错误发现率方法,并研究了技术分析的盈利能力,持久性和稳健性。从我们的结果来看,技术分析具有短期价值,其盈利能力主要由短期动量驱动。财务压力似乎在技术分析中对美国市场的盈利能力产生了很大的负面影响,对新兴市场和其他先进市场产生了很大的积极影响。

更新日期:2021-05-26
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