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

Finance (Business School)

Research output: Contribution to journal › Article › peer-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 language	English
Article number	101353
Journal	Journal of International Financial Markets, Institutions and Money
Volume	73
Early online date	25 May 2021
DOIs	https://doi.org/10.1016/j.intfin.2021.101353
Publication status	Published - Jul 2021

Keywords

False Discovery Rate
Technical analysis
Bootstrap/resampling
Trading

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10.1016/j.intfin.2021.101353

Technical analysis profitability and persistence: a discrete false discovery approach on MSCI indices
Crown Copyright © 2021 Published by Elsevier B.V. All rights reserved. This work has been made available online in accordance with publisher policies or with permission. Permission for further reuse of this content should be sought from the publisher or the rights holder. This is the author created accepted manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.intfin.2021.101353
Accepted author manuscript, 566 KBLicence: CC BY-NC-ND

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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.",

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

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T2 - a discrete false discovery approach on MSCI indices

AU - Sermpinis, Georgios

AU - Hassanniakalager, Arman

AU - Stasinakis, Charalampos

AU - Psaradellis, Ioannis

PY - 2021/7

Y1 - 2021/7

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 - False Discovery Rate

KW - Technical analysis

KW - Bootstrap/resampling

KW - Trading

U2 - 10.1016/j.intfin.2021.101353

DO - 10.1016/j.intfin.2021.101353

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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

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Keywords

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