An analysis of technical trading strategies

This dissertation extends the literature on the efficacy of technical analysis in the direction of the `risk premium view' as an explanation for excess trading rule returns. First, we generally rely on the theoretical alternatives to the efficient market hypothesis which encourages possibilities for markets to be inefficient. We then investigate the link between the risk involved in trading rule strategies and the resulting excess returns. The empirical analysis is based mainly on a sample of stocks drawn from the London Stock Exchange, (LSE), portfolios constructed from three US markets; the New York Stock Exchange, (NYSE), the American Stock Exchange, (ASE), and the National Association of Securities Dealers Automated Quotation market, (NASDAQ). Data from ten small emerging markets of Africa is also used in empirical analyses. Focusing on documented evidence of differences in risk levels among several markets or market segments, the empirical analyses examined whether these risk differentials can explain excess trading rule profits as compensation for bearing risk. The empirical analyses find that, to a large extent, liquidity, book-to-market ratio, and institutional arrangements can explain the excess profits from technical analysis. These empirical analyses are carried out in chapters three, four and six. As part of the analysis, I conduct empirical tests to assess the appropriateness of some risk estimates for trading rules. Using recently developed techniques, the evidence in chapter five is consistent with the notion that certain risk estimates may not be appropriate for adjusting trading rule returns for risk.

Name dc:type.qualificationname

Ph.D

Level dc:type.qualificationlevel

doctoral

Grantor dc:publisher.institution

University of Leeds

Year dc:date.issued

2006

Author dc:creator

• Mashaushi, Kadida Ramadhani Shagilla

Advisors dc:contributor.advisor

• Hillier, D.
• Keasey, K.
• Cai, C.

Identifier

uk.bl.ethos.431997

OAI identifier oai:identifier

oai:etheses.whiterose.ac.uk:696