Advanced

An Empirical Analysis of the Profitability of Technical Analysis Across Global Markets - The Case of Equities, Commodities and Foreign Exchange Rates

Ekman, Nils LU (2017) NEKP01 20171
Department of Economics
Abstract
Four technical indicators are tested on 14 return-series, covering the years 2000 – 2016 and representing 3 different asset types: equity, commodity and currency, with a further division of equity into developed and developing markets. The indicators assessed are Moving Averages with fixed and variable holding periods, MACD, and RSI. The purpose is to determine if there are any differences in the effectiveness of technical trading between the markets. Furthermore, the technical indicators tested, are evaluated for their predictive power using the t-test, and profitability, taking adequate market conditions into account. A further purpose of the study is to observe if markets are, in line with previous research, becoming more efficient with... (More)
Four technical indicators are tested on 14 return-series, covering the years 2000 – 2016 and representing 3 different asset types: equity, commodity and currency, with a further division of equity into developed and developing markets. The indicators assessed are Moving Averages with fixed and variable holding periods, MACD, and RSI. The purpose is to determine if there are any differences in the effectiveness of technical trading between the markets. Furthermore, the technical indicators tested, are evaluated for their predictive power using the t-test, and profitability, taking adequate market conditions into account. A further purpose of the study is to observe if markets are, in line with previous research, becoming more efficient with time, especially taking the introduction of ETFs into account. The study finds that all technical indicators perform poorly in terms of profitability and predictive power. The market type that shows most profitability is developing equity markets, although the results are not conclusive. This result supports the notion that markets are becoming increasingly efficient and gives merit to the efficient market hypothesis. (Less)
Please use this url to cite or link to this publication:
author
Ekman, Nils LU
supervisor
organization
course
NEKP01 20171
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Technical Analysis, Efficient Market Hypothesis, Equity Market, Commodity Market, Foreign Exchange Market
language
English
id
8905915
date added to LUP
2017-05-08 09:17:17
date last changed
2017-05-08 09:17:17
@misc{8905915,
  abstract     = {Four technical indicators are tested on 14 return-series, covering the years 2000 – 2016 and representing 3 different asset types: equity, commodity and currency, with a further division of equity into developed and developing markets. The indicators assessed are Moving Averages with fixed and variable holding periods, MACD, and RSI. The purpose is to determine if there are any differences in the effectiveness of technical trading between the markets. Furthermore, the technical indicators tested, are evaluated for their predictive power using the t-test, and profitability, taking adequate market conditions into account. A further purpose of the study is to observe if markets are, in line with previous research, becoming more efficient with time, especially taking the introduction of ETFs into account. The study finds that all technical indicators perform poorly in terms of profitability and predictive power. The market type that shows most profitability is developing equity markets, although the results are not conclusive. This result supports the notion that markets are becoming increasingly efficient and gives merit to the efficient market hypothesis.},
  author       = {Ekman, Nils},
  keyword      = {Technical Analysis,Efficient Market Hypothesis,Equity Market,Commodity Market,Foreign Exchange Market},
  language     = {eng},
  note         = {Student Paper},
  title        = {An Empirical Analysis of the Profitability of Technical Analysis Across Global Markets - The Case of Equities, Commodities and Foreign Exchange Rates},
  year         = {2017},
}