English, Article edition: Technical analysis and the stochastic properties of the Jordanian stock market index return Muhannad A. Atmeh; Ian M. Dobbs

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Bookmark: http://trove.nla.gov.au/version/8575
Physical Description
  • article
Language
  • English

Edition details

Title
  • Technical analysis and the stochastic properties of the Jordanian stock market index return
Author
  • Muhannad A. Atmeh
  • Ian M. Dobbs
Physical Description
  • article
Notes
  • Purpose – To investigate the performance of moving average trading rules in an emerging market context, namely that of the Jordanian stock market. Design/​methodology/​approach – The conditional returns on buy or sell signals from actual data are examined for a range of trading rules. These are compared with conditional returns from simulated series generated by a range of models (random walk with a drift, AR (1), and GARCH-(M)) and the consistency of the general index series with these processes is examined. Sensitivity analysis of the impact of transaction costs is conducted and standard statistical testing is extended through the use of bootstrap techniques. Findings – The empirical results show that technical trading rules can help to predict market movements, and that there is some evidence that (short) rules may be profitable after allowing for transactions costs, although there are some caveats on this. Originality/​value – New results for the Jordanian market; use of sensitivity analysis to investigate robustness to variations in transactions costs.
  • Jordan, Stock markets, Stock returns
  • RePEc:eme:sefpps:v:23:y:2006:i:2:p:119-140
Language
  • English
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