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

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Published: May 30, 2017
DOI: https://doi.org/10.5750/jpm.v11i1.1322
Keywords:
Athens Stock Exchange Trading Strategies Fast Fourier Transform Bootstrap Statistical tests Greek Crisis.

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Efstathios Xanthopoulos
National Technical University of Athens (NTUA)
Konstantinos Aravossis
National Technical University of Athens (NTUA)
Spyros Papathanasiou
Hellenic Open University

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.

Article Details

Issue
Vol. 11 No. 1 (2017)
Section
Articles
Author Biographies

Efstathios Xanthopoulos, National Technical University of Athens (NTUA)

School of Mechanical Engineering

Konstantinos Aravossis, National Technical University of Athens (NTUA)

School of Mechanical Engineering

Spyros Papathanasiou, Hellenic Open University

School of Social Sciences

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