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Technical trading rules and calendar anomalies -- Are they the same phenomena?

Listed author(s):
  • Atanasova, Christina V.
  • Hudson, Robert S.

The predictive ability of technical trading rules and the presence of calendar anomalies are well known, but theoretically anomalous, features of equity markets. We show that while some rules exploit calendar effects they are primarily being driven by other factors.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00363-2
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 106 (2010)
Issue (Month): 2 (February)
Pages: 128-130

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Handle: RePEc:eee:ecolet:v:106:y:2010:i:2:p:128-130
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
  2. 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.
  3. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1770, 08.
  4. Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998. "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers 1976, C.E.P.R. Discussion Papers.
  5. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
  6. Day, Theodore E. & Wang, Pingying, 2002. "Dividends, nonsynchronous prices, and the returns from trading the Dow Jones Industrial Average," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 431-454, November.
  7. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
  8. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  9. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
  10. Bokhari, Jawaad & Cai, Charlie & Hudson, Robert & Keasey, Kevin, 2005. "The predictive ability and profitability of technical trading rules: does company size matter?," Economics Letters, Elsevier, vol. 86(1), pages 21-27, January.
  11. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
  12. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
  13. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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