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Technical trading strategies and return predictability: NYSE

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  • Ki-Yeol Kwon
  • Richard Kish

Abstract

This study consists of an empirical analysis on technical trading rules (the simple price moving average, the momentum, and trading volume) utilizing the NYSE value-weighted index over the period 1962-1996, as well as, three subperiods. The methodologies employed include the traditional t-test and residual bootstrap methodology utilizing random walk, GARCH-M and GARCH-M with some instrument variables. The results indicate that the technical trading rules add a value to capture profit opportunities over a buy-hold strategy. When the trading rules are applied to the different sub-samples, the results are weaker in the last sub-period, 1985-1996. This may imply that the market is getting efficient in information over the recent years because of technological improvements.

Suggested Citation

  • Ki-Yeol Kwon & Richard Kish, 2002. "Technical trading strategies and return predictability: NYSE," Applied Financial Economics, Taylor & Francis Journals, vol. 12(9), pages 639-653.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:9:p:639-653
    DOI: 10.1080/09603100010016139
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    1. Blake LeBaron, "undated". "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison.
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