Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?
AbstractThis paper tests if the use of simple technical trading rules on Swiss stock prices is profitable. It considers several trading rules based on the crossing of moving averages. The use of bands and oscillators such as the relative strength index or the stochastic indicator is also investigated, These rules are tested on daily returns of the Swiss Bank Corporation General Index for the period 1969-1997. It is found that the most profitable rule is a double moving average with averages computed on one and five days.
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Bibliographic InfoPaper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 98.2.
Length: 17 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse
Web page: http://www.hec.unige.ch/
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STOCKS ; TRADE ; PRICING;
Other versions of this item:
- Dušan ISAKOV & Marc HOLLISTEIN, 1999. "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?," FAME Research Paper Series rp2, International Center for Financial Asset Management and Engineering.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G19 - Financial Economics - - General Financial Markets - - - Other
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- Ratner, Mitchell & Leal, Ricardo P. C., 1999. "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1887-1905, December.
- Michael McAleer & John Suen & Wing Keung Wong, 2013.
"Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis,"
KIER Working Papers
869, Kyoto University, Institute of Economic Research.
- Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Tinbergen Institute Discussion Papers 13-077/III, Tinbergen Institute.
- Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Working Papers in Economics 13/20, University of Canterbury, Department of Economics and Finance.
- Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.
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