Technical analysis
(2020) FEKH89 20201Department of Business Administration
- Abstract
- Abstract
Thesis title:
Technical analysis - An index-based study of Ichimoku Cloud on the Swedish index OMXS30
Seminar date:
2020-06-01
Subject / Course:
FEKH89, Business Administration: Bachelor's degree in finance (15 HP).
Author:
Alexander Liljenberg, Jesper Linné and Max Vahlgren
Supervisor:
Göran Andersson
Five Keywords:
Effective Market Hypothesis, Technical Analysis, Ichimoku Cloud, Month Shift Effect, OMXS30
Objective:
The purpose of this study is to test the hypothesis of the effective market in its weakest form with the technical indicator Ichimoku Cloud. We would therefore like to investigate if the strategies Ichimoku Cloud and MSE have the opportunity to obtain a higher return in relation to a... (More) - Abstract
Thesis title:
Technical analysis - An index-based study of Ichimoku Cloud on the Swedish index OMXS30
Seminar date:
2020-06-01
Subject / Course:
FEKH89, Business Administration: Bachelor's degree in finance (15 HP).
Author:
Alexander Liljenberg, Jesper Linné and Max Vahlgren
Supervisor:
Göran Andersson
Five Keywords:
Effective Market Hypothesis, Technical Analysis, Ichimoku Cloud, Month Shift Effect, OMXS30
Objective:
The purpose of this study is to test the hypothesis of the effective market in its weakest form with the technical indicator Ichimoku Cloud. We would therefore like to investigate if the strategies Ichimoku Cloud and MSE have the opportunity to obtain a higher return in relation to a buy-and-hold strategy.
Method:
In order to fulfill our purpose, we have used a deductive approach and where the data collection has been obtained from TradingView, a platform that has historical rates linked to various financial assets, and the technical indicator Ichimoku Cloud that we have applied. The data collected is from the Swedish big company index OMXS30 and its historical development since 1995 to present 2020. We have divided the investigated time interval into three different periods, corresponding to about 8 years per period.
Theoretical perspectives:
Theoretical bases on technical analysis, Ichimoku Cloud, the monthly change effect, the effective market hypothesis and BAH will be presented.
Conclusion:
The results of the study show that an abnormal return is obtained for the Ichimoku Cloud and MSE strategies during periods 1 and 2 but performs poorly than a BAH strategy during period 3. The overall result over the entire time period showed an abnormal return for both Ichimoku Cloud and MSE. Thus, it proved possible to obtain an abnormal return by studying historical course data, which means that the Swedish market is not effective during the study's study period and thus contravenes the weak form of EMH. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9011721
- author
- Liljenberg, Alexander LU ; Linné, Jesper and Vahlgren, Max
- supervisor
- organization
- alternative title
- - An index-based study of Ichimoku Cloud on the Swedish index OMXS30
- course
- FEKH89 20201
- year
- 2020
- type
- M2 - Bachelor Degree
- subject
- keywords
- Effective Market Hypothesis, Technical Analysis, Ichimoku Cloud, Month Shift Effect, OMXS30.
- language
- Swedish
- id
- 9011721
- date added to LUP
- 2020-08-05 12:44:28
- date last changed
- 2020-08-05 12:44:28
@misc{9011721,
abstract = {{Abstract
Thesis title:
Technical analysis - An index-based study of Ichimoku Cloud on the Swedish index OMXS30
Seminar date:
2020-06-01
Subject / Course:
FEKH89, Business Administration: Bachelor's degree in finance (15 HP).
Author:
Alexander Liljenberg, Jesper Linné and Max Vahlgren
Supervisor:
Göran Andersson
Five Keywords:
Effective Market Hypothesis, Technical Analysis, Ichimoku Cloud, Month Shift Effect, OMXS30
Objective:
The purpose of this study is to test the hypothesis of the effective market in its weakest form with the technical indicator Ichimoku Cloud. We would therefore like to investigate if the strategies Ichimoku Cloud and MSE have the opportunity to obtain a higher return in relation to a buy-and-hold strategy.
Method:
In order to fulfill our purpose, we have used a deductive approach and where the data collection has been obtained from TradingView, a platform that has historical rates linked to various financial assets, and the technical indicator Ichimoku Cloud that we have applied. The data collected is from the Swedish big company index OMXS30 and its historical development since 1995 to present 2020. We have divided the investigated time interval into three different periods, corresponding to about 8 years per period.
Theoretical perspectives:
Theoretical bases on technical analysis, Ichimoku Cloud, the monthly change effect, the effective market hypothesis and BAH will be presented.
Conclusion:
The results of the study show that an abnormal return is obtained for the Ichimoku Cloud and MSE strategies during periods 1 and 2 but performs poorly than a BAH strategy during period 3. The overall result over the entire time period showed an abnormal return for both Ichimoku Cloud and MSE. Thus, it proved possible to obtain an abnormal return by studying historical course data, which means that the Swedish market is not effective during the study's study period and thus contravenes the weak form of EMH.}},
author = {{Liljenberg, Alexander and Linné, Jesper and Vahlgren, Max}},
language = {{swe}},
note = {{Student Paper}},
title = {{Technical analysis}},
year = {{2020}},
}