This study examined the effect of using inter and exit signals of three of the most common used technical analysis strategies on achieving abnormal return compared with the buy and hold strategy in the Egyptian security market. The tests... more
This study examined the effect of using inter and exit signals of three of the most common used technical analysis strategies on achieving abnormal return compared with the buy and hold strategy in the Egyptian security market. The tests were done using data for short term, relatively long term, during bull and bear market. Using bootstrap methodology and wilcoxon/mann-whitney test for daily closing prices during the period from 1-1-1998 to 14-1-2016, the results indicated that; First, market timing with technical analysis yields more return and reduces risk in general. Second, short term investing is not recommended at all, as it is less profitable even than bear market period. Third, in long term and during bull market technical analysis is more profitable than short term. Fourth, technical analysis importance have been reduced during the last few years due to the effect of the Egyptian revolution on the security market. As for investors, they should use technical analysis trading rules to determine when to enter and exit the market, so that they can improve their investment decisions, as it leads to achieve abnormal return and reduces risk more than buy and hold strategy in all cases, while pay more attention for the current and political events than before.
This study examined the effect of using inter and exit signals of three of the most common used technical analysis strategies on achieving abnormal return compared with the buy and hold strategy in the Egyptian security market. The tests... more
This study examined the effect of using inter and exit signals of three of the most common used technical analysis strategies on achieving abnormal return compared with the buy and hold strategy in the Egyptian security market. The tests were done using data for short term, relatively long term, during bull and bear market. Using bootstrap methodology and wilcoxon/mann-whitney test for daily closing prices during the period from 1-1-1998 to 14-1-2016, the results indicated that; First, market timing with technical analysis yields more return and reduces risk in general. Second, short term investing is not recommended at all, as it is less profitable even than bear market period. Third, in long term and during bull market technical analysis is more profitable than short term. Fourth, technical analysis importance have been reduced during the last few years due to the effect of the Egyptian revolution on the security market. As for investors, they should use technical analysis trading...
تواجه الباحثين في مجال الأسواق المالية مجموعة من التحديات بخصوص منهجية البحث، أحد أبرز هذه التحديات تعارض الدليل التجريبي بالنسبة للقضية المدروسة نفسها، دون أن تؤدي الجهود البحثية، على اختلاف طرائقها، لحسم الخلاف لصالح أحد الفرضيتين،... more
تواجه الباحثين في مجال الأسواق المالية مجموعة من التحديات بخصوص منهجية البحث، أحد أبرز هذه التحديات تعارض الدليل التجريبي بالنسبة للقضية المدروسة نفسها، دون أن تؤدي الجهود البحثية، على اختلاف طرائقها، لحسم الخلاف لصالح أحد الفرضيتين، ولذلك مجموعة من الأسباب المتعلقة بخصوصية تطبيق المنهج التجريبي في الاقتصاد. أحد البدائل التي قد تعمق فهمنا للسوق، وترشدنا للطرق الأمثل لدراستها، هي المحاكاة باستخدام الحاسب، فيما يشبه مختبر افتراضي يساعد في ضبط التجربة وتثبيت العوامل الأخرى المؤثرة في المتغيرات المدروسة، حيث يوجد فرع مستقل في الاقتصاد يدعى الاقتصاد الصنعي يقوم على هذه الطريقة في الدراسة، في محاولة لتجنب الاختزالية؛ أي المبالغة في معاملة البيانات التجميعية وكأنها مأخوذة من الوحدات الجزئية مباشرةً، والبحث عن تعقيد بمعنى وجود خصائص في النظام تصعب فهم كلياته انطلاقاً من خصائص أفراده فقط. في هذا الإطار يقترح الباحث نموذجاً لسوق أوراق مالية صنعية، حيث صُمّم لدراسة قضية تعد مركزية في نظرية الأسواق المالية، هي كفاءة السوق، حيث يعرفها الباحث انطلاقاً من فرضية فريدمان حول المراجحة، علماً أن هذا البحث يركز على مدى ملاءمة النموذج لدراسة الكفاءة أكثر من الوصول لنتائج حاسمة بخصوصها.
الكلمات المفتاحية: الاقتصاد الصنعي، النشوء، التعقيد، سوق الأوراق المالية، كفاءة السوق، تحيزات سلوكية.
Many challenges have faced researchers in securities markets domain from research methodology point of view. One of the outstanding challenges is the conflicting empirical evidence about the same considered issue. Such conflict could not be eliminated by research efforts, regardless the used methods to investigate hypotheses to decide which one to be supported and which one to be falsified. This situation is caused due to many reasons related to difficulties of applying empirical methodology in economics. One alternative, that may deepen our understanding of the market and guide us to the best methods to investigate its relations, is computer simulation, which creates a virtual laboratory to observe variables interactions in a controlled experiment with ceteris paribus conditions. This alternative comes from a discipline called Artificial Economics, which is an attempt to avoid reductionism i.e. to deal with aggregated data as it represents micro-units, and to explore complexity; which means that a system cannot be understood on macro-level depending on only recognizing its individuals' (micro) characteristics. In previous framework, a new model of an artificial securities market is proposed. The model is built in a design to study an issue that is central to the theory of financial markets, which is market efficiency. It is defined on the bases of Friedman's hypothesis of arbitrage, where the focus of this research is to discuss the suitability of the proposed model to study market efficiency rather than reaching some conclusive results about it.
