IDEAS home Printed from https://ideas.repec.org/p/hhs/umnees/0761.html
   My bibliography  Save this paper

Profitability of Technical Trading Rules on the Baltic Stock Markets

Author

Listed:
  • Lönnbark, Carl

    () (Department of Economics, Umeå University)

  • Soultanaeva, Albina

    () (Department of Economics, Umeå University)

Abstract

In this note we study whether simple technical trading rules are profitable on the three Baltic stock markets. To statistically assess our findings we consider the conventional t-test and a block-bootstrap procedure. The two evaluation methods give conflicting results. The t-test supports some of the rules, while the block-bootstrap does not.

Suggested Citation

  • Lönnbark, Carl & Soultanaeva, Albina, 2009. "Profitability of Technical Trading Rules on the Baltic Stock Markets," Umeå Economic Studies 761, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0761
    as

    Download full text from publisher

    File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=46590&languageId=3&assetKey=ues761
    Download Restriction: no

    References listed on IDEAS

    as
    1. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
    2. Parisi, Franco & Vasquez, Alejandra, 2000. "Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile," Emerging Markets Review, Elsevier, vol. 1(2), pages 152-164, September.
    3. Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
    4. 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.
    5. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Baltic stock markets; technical trading rules; block bootstrap;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:umnees:0761. 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: (David Skog) or (Benny Carlsson). General contact details of provider: http://edirc.repec.org/data/inumuse.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.