Ενισχύει η Τεχνική Ανάλυση τις επιδόσεις των επενδυτών; Εμπειρικά ευρήματα από τις αγορές αξιών και παραγώγων
Does Technical Analysis enhance investor's performance? Findings from the stock and derivatives markets
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Subject
Αγορά χρήματος ; Μετοχές ; Money market ; StocksAbstract
In the context of this thesis, the effectiveness of the strategy Dual Moving Average versus Buy And Hold on the Athens and New York is examined. The findings suggest that this strategy leads to significantly higher performance compared with Buy And Hold Strategy for the period 1996 — 2012. It is worth noting that the strategy Buy And Hold outperforms only in rising markets. For the index Dow Jones, the best pairs are (5,10), (5, 20), (5,15), while the worst are (80, 90), (10,15), (20, 25). For the General Index of Athens, the best pairs obtained from results are (10, 25), (30, 40), (40, 70), (50, 70), (50, 60), while the worst are the (10, 90), (15, 80), (15, 25), (5, 90). For the index CME E-mini Dow Jones Futures (YM), the best pairs that are highlighted are (15, 30), (15, 25), (5,10), while the worst are (20, 30), (30,40) and (10,15).
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
202Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές