Brock et al. (1992) found technical trading rules to have predictive ability with regards to the Dow Jones Index. The current paper considers whether this result can be replicated on UK data. The paper also considers whether investors could earn excess returns from technical analysis in a costly trading environment. The paper concludes that although the technical trading rules examined do have predictive ability in terms of UK data, their use would not allow investors to make excess returns in the presence of costly trading.
引用
收藏
页码:1121 / 1132
页数:12
相关论文
共 6 条
[1]
ALEXANDER SS, 1961, IMR-IND MANAG REV, V2, P7
[2]
ALEXANDER SS, 1964, RANDOM CHARACTER STO, P338