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Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study.

Efstathios Xanthopoulos, Konstantinos Aravossis, Spyros Papathanasiou

Abstract


This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.

Keywords


Athens Stock Exchange, Trading Strategies, Fast Fourier Transform, Bootstrap, Statistical tests, Greek Crisis.

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DOI: http://dx.doi.org/10.5750/jpm.v11i1.1322

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