Technical anomalies: a theoretical review

Kok, Sook ching and Qaiser Munir, and Arsiah Hj Bahron, (2014) Technical anomalies: a theoretical review. Malaysian Journal of Business and Economics (MJBE), 1 (1). pp. 103-110. ISSN 2289-8018

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Abstract

The validation of weak-form efficient market hypothesis (EMH) depends on the testing of random walk hypothesis (RWH) and the non-presence of technical anomalies. Once technical anomalies are discovered based on the interpretation of technical analysis, investors can exploit these opportunities to earn above-normal returns from price forecasting. Thus, it violates the weak-form EMH. As the weak-form is violated, it would imply that all stronger forms of EMH are not supported. Hence, the issue of technical anomalies should not be ignored in the EMH study. This study focuses on the theoretical review of several important forms of technical anomaly, including short-term momentum, long-run return reversals, stock price volatility clustering, calendar anomalies, and technical rules. Based on the review of literature, we suggest that the persistence of anomalies over long-period horizon has remained controversial. In practical, the reliability of the forecast power of technical analysis is important to show the relevance of technical anomalies in the EMH domain.

Item Type: Article
Uncontrolled Keywords: technical anomalies, short-term momentum, long-run return reversals,volatility clustering, calendar anomalies, technical rules
Subjects: H Social Sciences > HG Finance
Divisions: FACULTY > Faculty of Business, Economics and Accounting
Depositing User: Users 83 not found.
Date Deposited: 10 Feb 2017 07:28
Last Modified: 11 Oct 2017 02:51
URI: http://eprints.ums.edu.my/id/eprint/15634

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