The Effects of Technical Analysis on Price Impact of the Futures Market
Date Issued
2015
Date
2015
Author(s)
Mai, Chi-Lun
Abstract
The feasibility of technical analysis has been verified by academic studies. However, in practical, whether it will be applied is decided by how much the transaction cost is. Owing to making large volume in very short time, dealers can be considered by price maker in the market. Therefore, they have to take into account the relation between the actions and costs of transaction when they formulate transaction strategies. This study focuses on changes of transaction costs before/after technical analysis signals. By studying the contribution of the technical analysis on market liquidity, we can offer the information of changes of the transaction costs from which we can be deduced the trading strategies, instead of the performance of technical analysis. Our results suggest that transaction costs significantly drop before/after technical analysis signals appear, especially when the short signals happen.
Subjects
transaction costs
technical analysis
moving average
volume
price impact
Type
thesis
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ntu-104-R02723053-1.pdf
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