Technical Trading Profitability in Greek Stock Market

Abstract

We examine the performance of various types of technical trading rules in the Athens Stock Exchange (ASE). In particular, this study examines the predictability of daily returns for the ASE by using the various moving averages rules. Due to the problem of non-normality on distribution of the abnormal returns identified, the bootstrap methodology under the null models of AR(1) and GARCH(1,1) is proposed. Overall, our results provide strong support for the examined technical strategies.