Effectiveness of Technical Indicators in Singapore Stock Market

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Zhao, Yuanyuan (2007) Effectiveness of Technical Indicators in Singapore Stock Market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

In this paper I am going to evaluate the effectiveness (profitability) of technical analysis, in particular the use of indicators in combinations, in the Singapore context. I am benchmarking the annualized percentage returns on two groups of SGX-listed companies against buy-and-hold for a period of two years, as well as comparing between groups. Both would be achieved by using statistical testing.

The focus of my study is to find out whether the use of technical indicators, especially in combinations, is able to generate significantly higher returns than buy-and-hold. The result may serve as indirect evidence on the market efficiency level in Singapore. Moreover, based on the choice of the two groups of companies, I am trying to determine if there could be a pervasive effect of difference in company size and potential information environment on the application of technical analysis.

As a result, I am found out that technical analysis does not generate significantly superior results than buy-and-hold strategy with respect to Singapore securities market, hence indicating an at least semi-strong form of market efficiency. However, it does have some advantages over buy-and-hold, and we will discuss the possibility of combining technical analysis and fundamental analysis in the conclusion. I have also found no pervasive effect of difference in company size and potential information environment on the application of technical analysis. But I am encouraging follow-up studies on this topic to overcome my limitations. I will discuss the other limiting factors for my study and make relevant recommendations in the end.

Item Type: Dissertation (University of Nottingham only)
Depositing User: EP, Services
Date Deposited: 07 Mar 2008
Last Modified: 26 Apr 2018 15:49
URI: https://eprints.nottingham.ac.uk/id/eprint/21426

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