Technical analysis and the London stock exchange: Testing trading rules using the FT30

International Journal of Finance and Economics

Volumn 2, Issue 4, 1997, Pages 319-331

  Mills, Terence C ^a  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

Author keywords

Bootstrap techniques; Stock market returns; Technical analysis

Indexed keywords

EID: 0000248956     PISSN: 10769307     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1158(199710)2:4<319::AID-JFE53>3.0.CO;2-6     Document Type: Article

References (8)

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2. Brock, W., Lakonishok, J. and LeBaron, B. (1992) 'Simple technical trading rules and the stochastic properties of stock returns'. Journal of Finance, 47, 1731-64.
3. Efron, B. and Tibshirani, R. J. (1993) An Introduction to the Bootstrap. New York: Chapman and Hall.
4. Malkiel, B. (1981) A Random Walk Down Wall Street, 2nd edn. New York: Norton.
5. Maravall, A. (1983) 'An application of nonlinear time series forecasting'. Journal of Business and Economic Statistics, 1, 66-74.
6. Neftçi, S. N. (1991) 'Naive trading rules in financial markets and Weiner-Kolmogorov prediction theory: A study of "technical analysis"'. Journal of Business, 64, 549-71.
7. Sweeney, R. (1988) 'Some new filter rule tests: Methods and results'. Journal of Financial and Quantitative Analysis, 23, 285-300.
8. Taylor, M. P. and Allen, H. (1992) The use of technical analysis in the foreign exchange market'. Journal of International Money and Finance, 11, 304-14.