CEU Electronic Theses and Dissertations, 2009
| Author | Faragó, Ádám |
|---|---|
| Title | Technical Analysis and Liquidity: the Case of the Budapest Stock Exchange |
| Summary | Technical analysis is a popular technique among financial practitioners for supporting their investment decisions. In this thesis I examine two aspects of technical analysis using data for 26 stocks of the Budapest Stock Exchange from the period between 1997 and 2008. First, I analyze the profitability of moving average indicators with the methodology developed by Brock et al. (1992). My results suggest that for the majority of the stocks, technical trading rules can be useful in predicting future price movements. In the second part of the thesis I study the relationship between market liquidity and the timing of signals generated by the most successful trading rules. Using panel data methods I find that there is no strong link between liquidity and the timing of signals. |
| Supervisor | Kondor, Péter |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2009/farago_adam.pdf |
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