Publicação
Technical analysis in european futures market
| Resumo: | Despite a strong initial receptivity, the wide spread of financial information, made technical analysis lose some of it adepts to fundamental analysis. Nevertheless, the number of arguments favoring technical analysis grew in past decades as some studies gave support to this technique. Following Brock, Lakonishok and LeBaron (1992) and Mills (1997) we examine returns generated by moving average and trading range break in DAX Futures from 1993 to 2007. Further, we test each strategy with one day of lag implementation of trading signals, however without any improvement in the results. Also, standard statistical tests and bootstrapping technique are performed on the technical indicators’ results addressed, giving a comprehensive indication of the results significance. However, the outcome obtained based on the statistical methods applied do not allow us to contradict the efficient market notion. |
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| Autores principais: | Pinheiro, Tânia Sofia Mauhin |
| Assunto: | Technical Analysis Moving Average Bootstrapping |
| Ano: | 2009 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | Despite a strong initial receptivity, the wide spread of financial information, made technical analysis lose some of it adepts to fundamental analysis. Nevertheless, the number of arguments favoring technical analysis grew in past decades as some studies gave support to this technique. Following Brock, Lakonishok and LeBaron (1992) and Mills (1997) we examine returns generated by moving average and trading range break in DAX Futures from 1993 to 2007. Further, we test each strategy with one day of lag implementation of trading signals, however without any improvement in the results. Also, standard statistical tests and bootstrapping technique are performed on the technical indicators’ results addressed, giving a comprehensive indication of the results significance. However, the outcome obtained based on the statistical methods applied do not allow us to contradict the efficient market notion. |
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