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Efficiency of Use of Technical Analysis: Evidences from Russian Stock Market

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  • Vassiliy Chsherbakov
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    Abstract

    Technical analysis can be determined as a method of evaluating the statistics, historical data (e.g. past price and volume.) to establish "specific rules for buying and selling securities with the objective of maximizing profits and minimizing risk of loss". The historical overview shows that technical analysis takes its roots in 17 century; by now it is one of the most frequently used methods by traders all over the world. This fact is justified by great number of empirical data from Singapore, Istanbul, New York and other stock exchanges. The main concern of this paper is the focus on the creation, tests of trading systems based on the popular trend following indicator, the moving average, and its combinations. The main questions which would be stressed during this research are: 1. What is the efficiency of the trading systems based on the selected elements of technical analysis? 2. Which of them do show the greatest efficiency rate? Testing of trading systems based on moving average indicator (single, dual and triple) shows relatively high results on the Russian Stock Exchange (MICEX). The comparison analysis indicated that relatively the most efficient trade system is dual moving average trade system; triple moving average trade system gets the 2nd place; and single moving average trade system is regarded as relatively inefficient

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    Bibliographic Info

    Article provided by University of Economics, Prague in its journal Ekonomika a Management.

    Volume (Year): 2010 (2010)
    Issue (Month): 4 ()
    Pages:

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    Handle: RePEc:prg:jnleam:v:2010:y:2010:i:4:id:117

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    Related research

    Keywords: Technical analysis; Trading systems efficiency; Moving average;

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    References

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    1. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
    2. Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2002. "How Rewarding Is Technical Analysis? Evidence From Singapore Stock Market," Departmental Working Papers wp0216, National University of Singapore, Department of Economics.
    3. Zielonka, Piotr, 2004. "Technical analysis as the representation of typical cognitive biases," International Review of Financial Analysis, Elsevier, vol. 13(2), pages 217-225.
    4. A. Antoniou & N. Ergul & P. Holmes & R. Priestley, 1997. "Technical analysis, trading volume and market efficiency: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 361-365.
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