ISJ Theoretical & Applied Science 11(19) 2014

ISPC European Science and Technology, Southampton, United Kingdom

Ghobadi M, Abdolbaghi A

PROFITABILITY OF TECHNICAL ANALYSIS INDICATORS TO EARN ABNORMAL RETURNS IN INTERNATIONAL EXCHANGE MARKETS.

Full Article: PDF

Digital Object Identifier System: http://dx.doi.org/10.15863/TAS.2014.11.19.5

Language: English

Citation: Ghobadi M, Abdolbaghi A (2014) PROFITABILITY OF TECHNICAL ANALYSIS INDICATORS TO EARN ABNORMAL RETURNS IN INTERNATIONAL EXCHANGE MARKETS. ISJ Theoretical & Applied Science 11 (19): 20-26. doi: http://dx.doi.org/10.15863/TAS.2014.11.19.5

Pages: 20-26

Published: 30.11.2014

Abstract: Technical analysis is one of the most interesting and challenging topics in recent financial science. In addition, one of the most common methods that investors use, to make investment decisions, is technical analysis strategy that uses price background knowledge and related data to forecast future prices. This study evaluates the profitability of technical analysis indicators in obtaining abnormal returns using STO, RSI, MFI, CCI, SMA indicators. Therefore, trading signal returns done by these five has been evaluated. Sample prices data Include copper, palladium, oil, gold, silver, wheat, sugar and dollar index “between beginning of 2008 to the end of 2013”by referring to transaction costs. For the statistical Calculation, we use SPSS software. The results revealed the positive returns according to technical analysis and indicator returns of technical analysis is significantly more than London Interbank Offered Rate. According to the results, STO, RSI, CCI, SMA, MFI have, in sequence, more returns and all their returns were more than London Interbank Offered Rate.

Key words: Technical Analysis; Relative Strength Index; Money Flow Index; Moving Average; Abnormal Return; LIBOR.