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- W3124790420 abstract "Literature reveals that many investors rely on technical trading rules when making investment decisions. If stock markets are efficient, one cannot achieve superior results by using these trading rules. However, if market inefficiencies are present, profitable opportunities may arise. The aim of this study is to investigate the effectiveness of technical trading rules in 34 emerging stock markets. The performance of the rules is evaluated by utilizing White’s (2000) Reality Check and the Superior Predictive Ability test of Hansen (2005), along with an adjustment for transaction costs. These tests are able to evaluate whether the best model performs better than a buy-and-hold benchmark. Further, they provide an answer to data snooping problems, which is essential to obtain unbiased outcomes. Based on our results we conclude that technical trading rules are not able to outperform a naive buyand-hold benchmark on a consistent basis. However, we do find significant trading rule profits in 4 of the 34 investigated markets. We also present evidence that technical analysis is more profitable in crisis situations. Nevertheless, this result is relatively weak." @default.
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- W3124790420 date "2011-11-20" @default.
- W3124790420 modified "2023-09-27" @default.
- W3124790420 title "Technical Trading Rules in Emerging Stock Markets" @default.
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- W3124790420 doi "https://doi.org/10.5281/zenodo.1057659" @default.
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