Technical trading strategies and return predictability: NYSE

Ki-Yeol Kwon and Richard Kish

Applied Financial Economics, 2002, vol. 12, issue 9, 639-653

Abstract: This study consists of an empirical analysis on technical trading rules (the simple price moving average, the momentum, and trading volume) utilizing the NYSE value-weighted index over the period 1962-1996, as well as, three subperiods. The methodologies employed include the traditional t-test and residual bootstrap methodology utilizing random walk, GARCH-M and GARCH-M with some instrument variables. The results indicate that the technical trading rules add a value to capture profit opportunities over a buy-hold strategy. When the trading rules are applied to the different sub-samples, the results are weaker in the last sub-period, 1985-1996. This may imply that the market is getting efficient in information over the recent years because of technological improvements.

Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100010016139 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:12:y:2002:i:9:p:639-653

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100010016139

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().