Technical trading rules in Australian financial markets

Jung Soo Park, Chris Heaton

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In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets, and test for profitability relative to a buy-and-hold strategy. Size distortions due to data-snooping are avoided by using the Reality Check test of White (2000) and the Superior Predictive Ability test of Hansen (2005). We find no evidence that technical trading rules provide trading profits in excess of those available from a simple buy-and-hold strategy.
Original languageEnglish
Pages (from-to)67-75
Number of pages9
JournalInternational journal of economics and finance
Issue number10
Publication statusPublished - 2014


  • asset pricing
  • financial forecasting and simulation
  • investment decisions
  • hypothesis testing
  • financial econometrics

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