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Technical analysis and the stochastic properties of the Jordanian stock market index return

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Author Info

  • Muhannad A. Atmeh
  • Ian M. Dobbs

Abstract

Purpose – To investigate the performance of moving average trading rules in an emerging market context, namely that of the Jordanian stock market. Design/methodology/approach – The conditional returns on buy or sell signals from actual data are examined for a range of trading rules. These are compared with conditional returns from simulated series generated by a range of models (random walk with a drift, AR (1), and GARCH-(M)) and the consistency of the general index series with these processes is examined. Sensitivity analysis of the impact of transaction costs is conducted and standard statistical testing is extended through the use of bootstrap techniques. Findings – The empirical results show that technical trading rules can help to predict market movements, and that there is some evidence that (short) rules may be profitable after allowing for transactions costs, although there are some caveats on this. Originality/value – New results for the Jordanian market; use of sensitivity analysis to investigate robustness to variations in transactions costs.

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Studies in Economics and Finance.

Volume (Year): 23 (2006)
Issue (Month): 2 (June)
Pages: 119-140

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Handle: RePEc:eme:sefpps:v:23:y:2006:i:2:p:119-140

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Related research

Keywords: Jordan; Stock markets; Stock returns;

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Cited by:
  1. Scholz, Peter & Walther, Ursula, 2011. "The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant," CPQF Working Paper Series 29, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  2. Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.

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