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Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics?

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  • Ben Marshall
  • Sun Qian
  • Martin Young

Abstract

We consider whether popular moving average and trading range breakout technical trading rules are profitable on a subset of the US stocks with certain size, liquidity and industry characteristics. We find these rules are rarely profitable during the period 1990 to 2004, however there is some evidence that they are more profitable for smaller, less liquid stocks. There is no evidence to any industry bias in applying these rules and when a rule does produce statistically significant profits on a stock, these profits tend to be greater for longer decision period rules.

Suggested Citation

  • Ben Marshall & Sun Qian & Martin Young, 2009. "Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1213-1221.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:15:p:1213-1221
    DOI: 10.1080/09603100802446591
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    References listed on IDEAS

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    Cited by:

    1. Yamamoto, Ryuichi, 2012. "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3033-3047.
    2. Osama El Ansary & Mona Atuea, 2017. "Testing the Effect of Technical Analysis Strategies on Achieving Abnormal Return: Evidence from Egyptian Stock Market," Accounting and Finance Research, Sciedu Press, vol. 6(2), pages 1-26, May.
    3. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.

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