Publication: The theory of the technical analysis: evidence from the İstanbul stock exchange (ISE) market
Abstract
Son yıllarda finansal yatırımcılar ve akademisyenler arasında teknik analiz yöntemlerine karşı olan ilgide büyük bir artış olmuştur. Buna paralel olarak da, akademik çalışmalar ile finansal yatırmcıların uygulamaları arasındaki kopukluğu azaltıcı yönde ciddi çalışmalar da yapılmıştır. Bu tez çalışmasında ise teknik analiz teorisi irdelenerek, al-sat yöntemleriyle elde edilen getirilerin istatistiksel özellikleri analiz edilmiştir. Bu tezin literatüre olan katkısı ise ampirik sahada olmuştur. İstanbul Menkul Kıymetler Borsası, İMKB-100 endeksi günlük verileri üzerine Hareketli Ortalamalar Kuralı, Ters Dönme Stratejisi, Filtre Kuralı ve Destek-Direnç Kuralı ana başlıkları altında değişik filtreleme yöntemleriyle toplam 223 farklı al-sat kuralı uygulanmıştır. Sonuç olarak, işlem maliyetleri hesaba katılmadığında al-sat kurallarının büyük bir çoğunluğu piyasa üzerinde bir getiri getirmiştir. Fakat, işlem maliyetleri hesaba katıldığında çok az bir al-sat kuralı piyasa üzeri getiri vermiştir ve bunlar da gözardı edilebilecek bir seviyededir.
In recent years, technical analysis takes the attentions of both the financial investors and the academicians. There are some noteworthy academic works that close the gap between the academic studies and the financial investors' practices. In this thesis, the theory of the technical trading rules is examined and the statistical properties of the trading rule profits are analyzed. As a contribution to the empirical side of the literature, 223 different linear and non-linear trading strategies (there are mainly four trading rule groups which are the Moving Average Rule, Reversal Strategy, Filter Rule and Trading-range Break Rule) were implemented to the Istanbul Stock Exchange Indexes(ISE-100 daily price index) and as a result, it is found that when ignoring the transaction costs, most of the trading rules give positive excess return, but after the inclusion of the transaction costs, only a few of them gives some (ignorable) positive excess return over the buy and hold strategy.
In recent years, technical analysis takes the attentions of both the financial investors and the academicians. There are some noteworthy academic works that close the gap between the academic studies and the financial investors' practices. In this thesis, the theory of the technical trading rules is examined and the statistical properties of the trading rule profits are analyzed. As a contribution to the empirical side of the literature, 223 different linear and non-linear trading strategies (there are mainly four trading rule groups which are the Moving Average Rule, Reversal Strategy, Filter Rule and Trading-range Break Rule) were implemented to the Istanbul Stock Exchange Indexes(ISE-100 daily price index) and as a result, it is found that when ignoring the transaction costs, most of the trading rules give positive excess return, but after the inclusion of the transaction costs, only a few of them gives some (ignorable) positive excess return over the buy and hold strategy.