A Non-Random Walk down Canary Wharf

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A Non-Random Walk down Canary Wharf

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Canegrati, Emanuele

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Emanuele Canegrati

Abstract

In this paper I perform a panel data analysis to evaluate whether - nancial technical indicators are able to predict stock market returns. By using a panel of 40 stocks taken from the Financial Times Stock Exchange (FTSE) observed in 2004, I test the ability of 75 amongst the most famous technical indicators used by traders to predict next-day returns. Surpris- ingly, results are robust in demonstrating that many of these are good predictors, supporting the validity of the technical analysis.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9871.

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Date of creation: 06 Aug 2008
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Handle: RePEc:pra:mprapa:9871

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-08-14 (All new papers)

References listed on IDEAS
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Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
Carol Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68. [Downloadable!]
Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June. [Downloadable!] (restricted)
Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June. [Downloadable!] (restricted)
Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November. [Downloadable!] (restricted)
Kang, Suk, 1985. "A note on the equivalence of specification tests in the two-factor multivariate variance components model," Journal of Econometrics, Elsevier, vol. 28(2), pages 193-203, May. [Downloadable!] (restricted)

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This page was last updated on 2008-11-18.

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