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Technical Analysis Accuracy At Macedonian Stock Exchange

Author

Listed:
  • Ivanovski, Zoran

    (University of Tourism and Management in Skopje, Republic of Macedonia)

  • Ivanovska, Nadica

    (Central Cooperative Bank, Skopje, Republic of Macedonia)

  • Narasanov, Zoran

    (Winner Insurance, Vienna Insurance Group, Skopje, Macedonia)

Abstract

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index), Stochastic Oscillator and ADX (Average Directional Index) on the three most liquid stocks quoted at MSE and included in MBI-10 index. Technical analysis for MPT, ALK and KMB stocks was performed and recommendations were issued in June 2010, based on monthly and weekly data for the stocks’ price movements during six years period from 2005 to 2010, as well as on their daily price movements from 2009 to 2010. We find that technical analysis is reliable tool for MSE stocks forecasting. Technical analysis predictions for three MSE stocks were confirmed by actual stock price movements within one year period (June 2010-June 2011). We did not find any notable differences in accuracy of use of technical analysis between stocks at MSE as well as between different technical analysis techniques.

Suggested Citation

  • Ivanovski, Zoran & Ivanovska, Nadica & Narasanov, Zoran, 2017. "Technical Analysis Accuracy At Macedonian Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 8(2), pages 105-118.
    • Handle: RePEc:ris:utmsje:0202
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    References listed on IDEAS

    as
    1. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    2. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
    3. 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.
    4. 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.
    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.
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    Cited by:

    1. Rommy Pramudya & Sakina Ichsani, 2020. "Efficiency of Technical Analysis for the Stock Trading," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(1), pages 58-67, January.
    2. William Sucuahi & Eugene Bije, 2020. "Modeling Long-Term Relationships in Philippine Stock Market (PSE) Indices: A Cointegration Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(9), pages 989-998, September.
    3. Pat Tong Chio, 2022. "A comparative study of the MACD-base trading strategies: evidence from the US stock market," Papers 2206.12282, arXiv.org.

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    More about this item

    Keywords

    stock; return; valuation; regression; volatility;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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