Technical Trading Rules in Australian Financial Markets

Park, Jung Soo; Heaton, Chris
October 2014
International Journal of Economics & Finance;Sep2014, Vol. 6 Issue 9, p67
Academic Journal
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.


Related Articles

  • Take it easy. PALESTRANT, VITA // Money (Australia Edition);Jun2015, Issue 179, p90 

    The article focuses on the move of investors in Australia to switch to exchange traded funds (ETF) as the money flowing into such fund increase. Topics mentioned include the attributes of exchange traded funds, such as their efficiency in tracking market indices, transparency, and the economy of...

  • Absolute Share Price Performance, as on 30 January 2015.  // HVS Global Hospitality Report;2/9/2015, p2 

    Several charts are presented depicting the absolute share price performance, as on January 30, 2015 including Australia Stock Exchange (ASX), Bangkok Stock Exchange (THB), China Shanghai Stock Exchange (RMB).

  • Exploiting Long Term Price Dependencies for Trading Strategies. Galenko, Alexander; Popova, Elmira; Popova, Ivilina // Journal of Applied Business & Economics;2012, Vol. 12 Issue 6, p11 

    The following research uses properties of cointegrated time series that serve as a basis for a daily trading strategy. Its practical implementation is illustrated using the daily closing prices of four world stock market indices. In-sample (as well as out-of-sample) results show that the...

  • ASX hits 7-week high, breaks through 5700. Desloires, Vanessa // Australian Financial Review (0404-2018);7/22/2015, p21 

    The article highlights the performance of the stock market in Australia on July 21, 2015, highlighting the gains reported by the benchmark S&P/ASX 200 index and the All Ordinaries.

  • Psychological barriers in European stock markets: Where are they? Dorfleitner, Gregor; Klein, Christian // Global Finance Journal;Apr2009, Vol. 19 Issue 3, p268 

    Abstract: We examine four European stock indices and the prices of eight major German stocks for indications of psychological barriers. The frequency, (expected) returns, intraday volatility and trading volume of these assets are studied contingent on whether the prices lie within a certain...

  • SSA Equities: Bullish Uganda, Cautious Zambia, Bearish Mauritius.  // Emerging Markets Monitor;8/24/2009, Vol. 15 Issue 20, p21 

    The article reports on the equities of African countries such as Uganda, Zambia and Mauritius from January 2008 to July 2009. It is stated that equities by Uganda and Zambia are off their recent highs but the indices remain broadly bullish. The Mauritian Semdex, on the other hand, has a break of...

  • Cyprus: CSE To 3,500?  // Emerging Markets Monitor;1/14/2008, Vol. 13 Issue 38, p16 

    The article assesses the performance of the Cyprus Stock Exchange General Index. In October 2007, the bourse is down 16.2% since the peak in 5,574.91. Now at 4,667.71, a break potentially suggests a move back down to 3,500. A number of factors indicate the downside move, including an...

  • Key Market Views: Taking Profit On China, Going Short India.  // Emerging Markets Monitor;6/29/2009, Vol. 15 Issue 13, p5 

    The article presents an outlook for Chinese and Indian equities as of June 2009. It is noted that the Shanghai Composite Index (SCI) remains firmly within its current upward trend channel in spite of the authors' decision to close their bullish SCI position for its failure to make a firm break...

  • Turkey: Equities -- Testing A Key Level.  // Emerging Markets Monitor;2/11/2008, Vol. 13 Issue 42, p17 

    The article discusses the performance of the Turkish ISE-100 equities index as of February 11, 2008. A longer downside trend of the equities index is likely in the aftermath of its failure to bounce off key support at 43,000. The author notes that should the index perform above the 42,000-43,000...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics