Technical trading rules in Australian financial markets

Jung Soo Park, Chris Heaton

Research output: Contribution to journalArticleResearchpeer-review

Abstract

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.
LanguageEnglish
Pages67-75
Number of pages9
JournalInternational journal of economics and finance
Volume6
Issue number10
DOIs
Publication statusPublished - 2014

Fingerprint

Technical trading rules
Financial markets
Data snooping
Profitability
Interest rate futures
Predictive ability
Stock index
Reality check
Futures contracts
Size distortion
Profit
Currency

Keywords

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

Cite this

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Technical trading rules in Australian financial markets. / Park, Jung Soo; Heaton, Chris.

In: International journal of economics and finance, Vol. 6, No. 10, 2014, p. 67-75.

Research output: Contribution to journalArticleResearchpeer-review

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