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Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices

Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis and Ioannis Psaradellis

Journal of International Financial Markets, Institutions and Money, 2021, vol. 73, issue C

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.

Keywords: False Discovery Rate; Technical analysis; Trading; Bootstrap/resampling (search for similar items in EconPapers)
JEL-codes: C12 C15 C53 G11 G15 G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:73:y:2021:i:c:s104244312100072x

DOI: 10.1016/j.intfin.2021.101353

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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