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

Georgios Sermpinis; Arman Hassanniakalager; Charalampos Stasinakis; Ioannis Psaradellis

doi:10.1016/j.intfin.2021.101353

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

Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis, Ioannis Psaradellis

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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 language	English
Article number	101353
Journal	Journal of International Financial Markets, Institutions and Money
Volume	73
Early online date	12 May 2021
DOIs	https://doi.org/10.1016/j.intfin.2021.101353
Publication status	Published - 31 Jul 2021

Keywords

Bootstrap/resampling
False Discovery Rate
Technical analysis
Trading

ASJC Scopus subject areas

Economics and Econometrics
Finance

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10.1016/j.intfin.2021.101353

Accepted Manuscript_INTFIN.PDFAccepted author manuscript, 551 KBLicence: CC BY-NC-ND

Cite this

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title = "Technical Analysis Profitability and Persistence: A Discrete False Discovery Approach on MSCI Indices",

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 = "Bootstrap/resampling, False Discovery Rate, Technical analysis, Trading",

author = "Georgios Sermpinis and Arman Hassanniakalager and Charalampos Stasinakis and Ioannis Psaradellis",

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doi = "10.1016/j.intfin.2021.101353",

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T1 - Technical Analysis Profitability and Persistence

T2 - A Discrete False Discovery Approach on MSCI Indices

AU - Sermpinis, Georgios

AU - Hassanniakalager, Arman

AU - Stasinakis, Charalampos

AU - Psaradellis, Ioannis

PY - 2021/7/31

Y1 - 2021/7/31

N2 - 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.

AB - 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.

KW - Bootstrap/resampling

KW - False Discovery Rate

KW - Technical analysis

KW - Trading

UR - https://www.scopus.com/pages/publications/85106928813

U2 - 10.1016/j.intfin.2021.101353

DO - 10.1016/j.intfin.2021.101353

M3 - Article

SN - 1042-4431

VL - 73

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

M1 - 101353

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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