Back to the Future. A Behavioural Perspective on Technical Analysis into PIGS Countries

July 25, 2015 Posted by admin

Spyros Papathanasiou, Dimitrios Vasiliou and Nikolaos Eriotis
Hellenic Open University, 1 Kekropos Street, GR –19001, Keratea, Greece,
Hellenic Open University, 16, Sahtouri Str. and Ag. Andreou Str. GR-262 22 Patra,
National & Kapodistrian University of Athens, 5 Stadiou Street, GR–105 62, Athens, Greece.

Abstract
In this paper, we investigate the possible presence of the behavioural phenomenon in the stock markets of some members of the European Union who are historically known as PIGS (Portugal, Italy, Greece and Spain). We used technical analyses methods and rules to explain behavioural phenomenon in the examined stoch markets. We use different types of moving average technical rules. We perform some further analyses and tests. In our further analyses, we apply standard t-tests in combination with bootstrap methodology under the GARCH (1,1) null model. Overall, the results obtained in the paper show that our technical strategies (buy and hold) “win” the market and that there is a presence of European phenomenon in the PIGS stock markets. In addition, we document significant excess returns for moving average trading strategies and reject the weak-form efficient market hypothesis of Fama (1965).

Keywords: Behavioural Finance, GARCH(1,1) Technical Analysis, Bootstrap, Matlab, PIGS.

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