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A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices

  • Yochanan Shachmurove
  • Uri BenZion
  • Paul Klein
  • Joseph Yagil

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File URL: http://www.econ.upenn.edu/Centers/CARESS/CARESSpdf/01-17.pdf
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Paper provided by Penn Economics Department in its series Penn CARESS Working Papers with number 4731f3394c43bebf4d3191c81d15e9f0.

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Date of creation: 2001
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Handle: RePEc:cla:penntw:4731f3394c43bebf4d3191c81d15e9f0
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  1. Mark J Ready, 2002. "Profits from Technical Trading Rules," Financial Management, Financial Management Association, vol. 31(3), Fall.
  2. Szakmary, Andrew & Davidson, Wallace N, III & Schwarz, Thomas V, 1999. "Filter Tests in Nasdaq Stocks," The Financial Review, Eastern Finance Association, vol. 34(1), pages 45-70, February.
  3. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
  4. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
  5. Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 405-426, December.
  6. Gencay Ramazan & Stengos Thanasis, 1997. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-14, July.
  7. Isakov, D. & Hollistein, M., 1998. "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?," Papers 98.2, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
  8. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 347-359, October.
  9. 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.
  10. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January.
  11. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  12. K. Rouwenhorst, 1996. "International Momentum Strategies," Yale School of Management Working Papers ysm36, Yale School of Management, revised 01 Feb 2008.
  13. 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.
  14. Ojah, Kalu & Karemera, David, 1999. "Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit," The Financial Review, Eastern Finance Association, vol. 34(2), pages 57-72, May.
  15. 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.
  16. Christopher Neely & Paul Weller, 1998. "Technical trading rules in the European Monetary System," Working Papers 1997-015, Federal Reserve Bank of St. Louis.
  17. 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.
  18. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-81, March.
  19. C.L. Osler & P.H. Kevin Chang, 1995. "Head and shoulders: not just a flaky pattern," Staff Reports 4, Federal Reserve Bank of New York.
  20. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
  21. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July.
  22. Christopher J. Neely, 1998. "Technical analysis and the profitability of U.S. foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 3-17.
  23. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research.
  24. repec:cup:macdyn:v:1:y:1997:i:1:p:102-34 is not listed on IDEAS
  25. Frankel, Jeff & Froot, Ken, 1986. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," Department of Economics, Working Paper Series qt1972q8wm, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  26. P.H. Kevin Chang & Carol Osler, 1994. "Evaluating chart-based technical analysis: the head-and-shoulder pattern in foreign exchange," Research Paper 9414, Federal Reserve Bank of New York.
  27. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
  28. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, vol. 24(4), pages 541-50, November.
  29. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  30. Annesi Massimo & Ruffolo G. & D'Antoni S. & Macciotta G. & Pace C. & Sacchi C. & Sai M. & Solaroli B. & Baldassarri M. & Novacco N., 1998. "Interventi," Rivista economica del Mezzogiorno, Società editrice il Mulino, issue 2, pages 399-450.
  31. Alan Goodacre & Tessa Kohn-Speyer, 2001. "CRISMA revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 221-230.
  32. 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.
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