Technical Analysis Profitability and Persistence: A Discrete False Discovery Approach on MSCI Indices

Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis, Ioannis Psaradellis

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Article number101353
JournalJournal of International Financial Markets, Institutions and Money
Volume73
Early online date12 May 2021
DOIs
Publication statusE-pub ahead of print - 12 May 2021

Keywords

  • False Discovery Rate
  • Technical Analysis
  • Trading
  • Bootstrap/resampling

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