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Jung Soo Park

First Name: Jung Soo
Surname: Park
Department Dept of Economics
Supervisor(s): Christopher Heaton ,

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Paper Title

Tests of Technical Trading Profitability in Australian Financial Markets

Abstract

This study tests the profitability of the Australian stock, currency and (interest rate) futures markets with extensive and comprehensive technical trading rules. Including new generation rules, this is the first large scale evaluation of the technical rules which contemporary practitioners are using, and this study will investigate whether these newer trading rules outperform the classical rules that still dominate academic journals literature. Furthermore, our study is among the first application of the data snooping tests (RC, SPA, SRC, SSPA) in Australian market research. The test results demonstrate no consistent support of the profitability of technical trading rules in Australian markets, after deduction of transaction costs.