Technıcal analysıs strategy and abnormal returns ın tehran stock exchange (2008-2014)
Authors: Houshang Shajari, Mohsen Ghobadi
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Nowadays, with the great progress in financial science, one of the most common methods that investors use, to make investment decisions, is technical analysis strategy that uses price background knowledge and related data to forecast future prices. Generally, according to various opinions, there are three different methods for investing in stock: Fundamental analysis, technical analysis, buy and hold strategy. This study evaluates the profitability of technical analysis strategy in obtaining abnormal returns using RSI, MFI, CCI, MACD, RFI indicators. Therefore, trading signal returns done by these four has been evaluated. In this study, business data of all companies accepted in Tehran stock exchange were collected, and in the period “between 2007 to 2013” by deletion of those companies that lack the essential information, the exams of this study have been done on the basis of related data of 25 companies by referring to transaction costs. The results revealed the positive returns according to technical analysis and indicator returns of technical analysis is significantly more than Risk-free interest rate . According to the results, RSI, CCI, MACD, MFI have, in sequence, more returns and all their returns were more than Risk-free interest rate.