Technical Trading Profitability in the Athens Stock Exchange

The objective of this paper is to examine the performance of specific technical rules in the Athens Stock Exchange (ASE). In particular, we further investigate and provide modifications for Brock, Lakonishok, and LeBaron (1992) methodology, finding various forms of technical analysis that contain significant forecast power for ASE returns. Furthermore, we test one of the most popular trading rules, various forms of moving averages. Firstly we use standards tests. Due to the problem of non-normality on distribution of the abnormal returns identified, the bootstrap methodology under the null models of AR(1) and GARCH(1,1) is proposed. Finally, this research attempts to develop specific strategies that enable investors and portfolio managers to use market timing. Our findings provide strong support for the examined technical strategies. JEL classification number: G12,G14