Technical trading strategies and return predictability: NYSE

This study consists of an empirical analysis on technical trading rules (the simple price moving average, the momentum, and trading volume) utilizing the NYSE value-weighted index over the period 1962–1996, as well as, three subperiods. The methodologies employed include the traditional t-test and residual bootstrap methodology utilizing random walk, GARCH-M and GARCH-M with some instrument variables. The results indicate that the technical trading rules add a value to capture profit opportunities over a buy-hold strategy. When the trading rules are applied to the different sub-samples, the results are weaker in the last sub-period, 1985–1996. This may imply that the market is getting efficient in information over the recent years because of technological improvements.

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