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Testing Technical Anomalies in Athens Stock Exchange (ASE)

Author

Listed:
  • Nikolaos Eriotis
  • Dimitrios Vasiliou
  • Spyros Papathanasiou

Abstract

The purpose of this paper is to investigate the existence of historical Market anomalies in the Athens Stock Market (ASE). The market anomalies that are going to be explored are technical ones concerning the trading rules of the various types of moving averages. The above anomalies were observed in most developed and developing markets. This study will investigate these effects for the most important index of the Athens market, the Athens General Index. The data used are for the period from 1/1/1990 to 31/12/2004. Overall, our results confirm the existence of technical anomalies in ASE and provide strong support for profitability of those technical trading rules.

Suggested Citation

  • Nikolaos Eriotis & Dimitrios Vasiliou & Spyros Papathanasiou, 2006. "Testing Technical Anomalies in Athens Stock Exchange (ASE)," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 75-90.
  • Handle: RePEc:ers:journl:v:ix:y:2006:i:3-4:p:75-90
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    References listed on IDEAS

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    1. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
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    3. Wing-Keung Wong & Meher Manzur & Boon-Kiat Chew, 2003. "How rewarding is technical analysis? Evidence from Singapore stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 543-551.
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    5. Neftci, Salih N, 1991. "Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."," The Journal of Business, University of Chicago Press, vol. 64(4), pages 549-571, October.
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    Cited by:

    1. Elena Lidia Melnic, 2016. "New Approaches In The Retail Banking System For Creating Long Term Loyalty Relationships With Customers: Case Study On The Romanian Market," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(3), pages 49-64.
    2. Sedeaq Nassar, 2016. "The Day of the Week Effect of Stock Returns: Empirical Evidence from Five Selected Arab Countries," Eurasian Journal of Business and Management, Eurasian Publications, vol. 4(2), pages 55-64.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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