The Validity of Technical Analysis for the Swedish Stock Exchange : Evidence from random walk tests and back testing analysis

Gustafsson, Dan

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The Validity of Technical Analysis for the Swedish Stock Exchange: Evidence from random walk tests and back testing analysis

Gustafsson, Dan

Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.

2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis

Abstract [en]

In this paper I examine the validity of technical analysis for the Swedish stock index OMXS30 between 2001-12-28 and 2011-12-30. Results indicate that OMXS30 followed a non-random walk and that technical trading rules had predictive power over future price movements. Results also suggest that technical trading rules could be used to outperform a buy-and-hold strategy.

Place, publisher, year, edition, pages

2012.

Keywords [en]

Technical Analysis, RSI, Efficient Market Hypothesis, Behaviour Finance, Negative Feedback Trading

National Category

Economics Economics and Business

Identifiers

URN: urn:nbn:se:hj:diva-18427OAI: oai:DiVA.org:hj-18427DiVA, id: diva2:533168

Uppsok

Social and Behavioural Science, Law

Supervisors

Bjuggren, Per-Olof, Professor

Examiners

Stephan, Andreas, Professor

Available from: 2012-06-27 Created: 2012-06-13 Last updated: 2012-06-27Bibliographically approved

Open Access in DiVA

The Validity of Technical Analysis for the Swedish Stock Exchange(929 kB)

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