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Drivers of technical trend-following rules' profitability in world stock markets

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dc.contributor.authorÜlkü, N.
dc.contributor.authorProdan, E.
dc.date.issued2013
dc.descriptionData source: Supplementary data, http://www.sciencedirect.com/science/article/pii/S1057521913001269#appd002
dc.description.abstractTesting short-horizon technical trend-following rules, including the first comprehensive evidence on the relatively-neglected MACD rule, on a large panel of world stock market indexes, we investigate the determinants of technical trading rule profitability. The main driver of trend-following rules' profitability is return persistence, which, in turn, is negatively related to market development. Return volatility adds to technical rule profitability. A new result is that the presence of an index futures market lowers profits to short-horizon trend-following rules after controlling for other indicators of market development. This may reflect the role of transaction costs as a friction retarding incorporation of information.
dc.identifier.citationInternational Review of Financial Analysis, 2013; 30:214-229
dc.identifier.doi10.1016/j.irfa.2013.08.005
dc.identifier.issn1057-5219
dc.identifier.urihttps://hdl.handle.net/11541.2/119103
dc.language.isoen
dc.publisherElsevier Science
dc.rightsCopyright 2013 Elsevier
dc.source.urihttps://doi.org/10.1016/j.irfa.2013.08.005
dc.subjectdrivers of technical trading rule profitability
dc.subjectindex futures
dc.subjectmarket efficiency
dc.subjecttechnical trend-following rules
dc.subjecttransaction costs
dc.titleDrivers of technical trend-following rules' profitability in world stock markets
dc.typeJournal article
pubs.publication-statusPublished
ror.mmsid9916071308401831

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