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 languageEnglish
    Article number101353
    JournalJournal of International Financial Markets, Institutions and Money
    Volume73
    Early online date25 May 2021
    DOIs
    Publication statusPublished - Jul 2021

    Keywords

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

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