Does intraday technical analysis in the U.S. equity market have value?
This paper investigates whether intraday technical analysis is profitable in the U.S. equity market. Surveys of market participants indicate that they place more emphasis on technical analysis (and less on fundamental analysis) the shorter the time horizon; however, the technical analysis literature to date has focused on long-term technical trading rules. We find, using two bootstrap methodologies, that none of the 7846 popular technical trading rules we test are profitable after data snooping bias is taken into account. There is no evidence that the market is inefficient over this time horizon.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000.
"Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation,"
NBER Working Papers
7613, National Bureau of Economic Research, Inc.
- 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.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 1999. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Computing in Economics and Finance 1999 402, Society for Computational Economics.
- Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
- 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.
- Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
- Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
- Carol L. 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.
- Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
- Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," The Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July.
- 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.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
- Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
- Charles J. Corrado & Suk-Hun Lee, 1992.
"Filter Rule Tests Of The Economic Significance Of Serial Dependencies In Daily Stock Returns,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 369-387, December.
- Corrado, Charles J & Lee, Suk-Hun, 1992. "Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 369-387, Winter.
- Neely, C. J. & Weller, P. A., 2003.
"Intraday technical trading in the foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 22(2), pages 223-237, April.
- Paul Weller & Christopher Neely, 1999. "Intraday Technical Trading in the Foreign Exchange Market," Working Papers wp99-02, Warwick Business School, Finance Group.
- Christopher J. Neely & Paul A. Weller, 2001. "Intraday technical trading in the foreign exchange market," Working Papers 1999-016, Federal Reserve Bank of St. Louis.
- Kenneth A. Kavajecz, 2004. "Technical Analysis and Liquidity Provision," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1043-1071.
- Hendrik Bessembinder & Kalok Chan, 1998. "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, vol. 27(2), Summer.
- Oberlechner, Thomas, 2001. "Importance of Technical and Fundamental Analysis in the European Foreign Exchange Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 81-93, January.
- 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.
- Mark J Ready, 2002. "Profits from Technical Trading Rules," Financial Management, Financial Management Association, vol. 31(3), Fall.
- 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.
- Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
- Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
- Olson, Dennis, 2004. "Have trading rule profits in the currency markets declined over time?," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 85-105, January.
When requesting a correction, please mention this item's handle: RePEc:eee:empfin:v:15:y:2008:i:2:p:199-210. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.