"Technical Analysis in Financial Markets"

Table 5.7 continued.

Panel A Panel B

selection criterion Mean return Sharpe ratio

costs per trade 0% 0.50% 0% 0.50%

Data set α β α β α β α β

South-Korea Kospi200 0.002608a 0.929 0.000986b 0.622a 0.002608a 0.929 0.000897b 0.457a

Sri Lanka CSE All Share 0.002336a 1.078 0.001062a 1.103 0.002336a 1.078 0.001062a 1.103

Thailand SET 0.002512a 0.893c 0.001469a 0.666a 0.002512a 0.893c 0.001469a 0.666a

Taiwan TSE Composite 0.001197a 0.700a 0.000640c 0.663a 0.001197a 0.700a 0.000640c 0.663a

Austria ATX 0.000540a 0.727a 0.000256 0.723a 0.000540a 0.727a 0.000256 0.723a

Belgium Bel20 0.000348b 0.882 0.000204 0.824b 0.000343c 0.916 0.000203 0.710a

Czech Republic PX50 0.001914a 0.897b 0.000856b 0.756a 0.001914a 0.897b 0.000856b 0.756a

Denmark KFX 0.000550a 0.978 0.000205 0.565a 0.000550a 0.978 0.000205 0.565a

Finland HEX General 0.000906b 0.805b 0.000712b 0.865c 0.000696a 0.754a 0.000691a 0.754a

France CAC40 0.000521b 0.921c 0.000152 1.404a 0.000521b 0.921c 0.000152 1.404a

Germany DAX30 0.000462b 0.949 0.000237 1.086 0.000462b 0.949 0.000251 0.782a

Greece ASE General 0.002340a 0.896c 0.000722b 1.062 0.002340a 0.896c 0.000673c 0.771a

Italy MIB30 0.000815b 0.764a 0.000658b 0.966 0.000815b 0.764a 0.000664c 0.763a

Netherlands AEX 0.000287c 0.729a 0.000231 0.794a 0.000307b 0.526a 0.000231 0.794a

Norway OSE All Share 0.001125a 0.782b 0.000704b 0.927 0.001125a 0.782b 0.000580b 0.554a

Portugal PSI General 0.001151a 0.831b 0.000751a 0.936 0.000585a 0.288a 0.000574a 0.286a

Russia Moscow Times 0.004420a 0.877c 0.003003a 0.755a 0.004426a 0.851c 0.003003a 0.755a

Slovakia SAX16 0.000461c 0.507a 0.000448c 0.507a 0.000461c 0.507a 0.000448c 0.507a

Spain IGBM 0.000560b 0.924c 0.000365c 0.832b 0.000516b 0.764a 0.000373c 0.764a

Sweden OMX 0.000878a 0.943 0.000637b 0.760a 0.000878a 0.943 0.000637b 0.760a

Switzerland SMI 0.000450b 0.89 0.000281 0.887 0.000450b 0.89 0.000281 0.887

Turkey ISE100 0.003030a 0.921c 0.001810a 0.685a 0.003030a 0.921c 0.001810a 0.685a

UK FTSE100 0.000348b 0.879c 0.000156 1.221a 0.000287b 0.872 0.000175 0.407a

Ireland ISEQ 0.000502a 0.958 0.000350b 0.957 0.000502a 0.958 0.000350b 0.957

Egypt CMA 0.001202a 1.003 0.000674a 0.939 0.001202a 1.003 0.000721a 0.721a

Israel TA100 0.000667b 0.806a 0.000439c 1.067 0.000667b 0.806a 0.000439c 1.067

223

	Panel A				Panel B
selection criterion	Mean return				Sharpe ratio
costs per trade	0%		0.50%		0%		0.50%
Data set	α	β	α	β	α	β	α	β
South-Korea Kospi200	0.002608a	0.929	0.000986b	0.622a	0.002608a	0.929	0.000897b	0.457a
Sri Lanka CSE All Share	0.002336a	1.078	0.001062a	1.103	0.002336a	1.078	0.001062a	1.103
Thailand SET	0.002512a	0.893c	0.001469a	0.666a	0.002512a	0.893c	0.001469a	0.666a
Taiwan TSE Composite	0.001197a	0.700a	0.000640c	0.663a	0.001197a	0.700a	0.000640c	0.663a
Austria ATX	0.000540a	0.727a	0.000256	0.723a	0.000540a	0.727a	0.000256	0.723a
Belgium Bel20	0.000348b	0.882	0.000204	0.824b	0.000343c	0.916	0.000203	0.710a
Czech Republic PX50	0.001914a	0.897b	0.000856b	0.756a	0.001914a	0.897b	0.000856b	0.756a
Denmark KFX	0.000550a	0.978	0.000205	0.565a	0.000550a	0.978	0.000205	0.565a
Finland HEX General	0.000906b	0.805b	0.000712b	0.865c	0.000696a	0.754a	0.000691a	0.754a
France CAC40	0.000521b	0.921c	0.000152	1.404a	0.000521b	0.921c	0.000152	1.404a
Germany DAX30	0.000462b	0.949	0.000237	1.086	0.000462b	0.949	0.000251	0.782a
Greece ASE General	0.002340a	0.896c	0.000722b	1.062	0.002340a	0.896c	0.000673c	0.771a
Italy MIB30	0.000815b	0.764a	0.000658b	0.966	0.000815b	0.764a	0.000664c	0.763a
Netherlands AEX	0.000287c	0.729a	0.000231	0.794a	0.000307b	0.526a	0.000231	0.794a
Norway OSE All Share	0.001125a	0.782b	0.000704b	0.927	0.001125a	0.782b	0.000580b	0.554a
Portugal PSI General	0.001151a	0.831b	0.000751a	0.936	0.000585a	0.288a	0.000574a	0.286a
Russia Moscow Times	0.004420a	0.877c	0.003003a	0.755a	0.004426a	0.851c	0.003003a	0.755a
Slovakia SAX16	0.000461c	0.507a	0.000448c	0.507a	0.000461c	0.507a	0.000448c	0.507a
Spain IGBM	0.000560b	0.924c	0.000365c	0.832b	0.000516b	0.764a	0.000373c	0.764a
Sweden OMX	0.000878a	0.943	0.000637b	0.760a	0.000878a	0.943	0.000637b	0.760a
Switzerland SMI	0.000450b	0.89	0.000281	0.887	0.000450b	0.89	0.000281	0.887
Turkey ISE100	0.003030a	0.921c	0.001810a	0.685a	0.003030a	0.921c	0.001810a	0.685a
UK FTSE100	0.000348b	0.879c	0.000156	1.221a	0.000287b	0.872	0.000175	0.407a
Ireland ISEQ	0.000502a	0.958	0.000350b	0.957	0.000502a	0.958	0.000350b	0.957
Egypt CMA	0.001202a	1.003	0.000674a	0.939	0.001202a	1.003	0.000721a	0.721a
Israel TA100	0.000667b	0.806a	0.000439c	1.067	0.000667b	0.806a	0.000439c	1.067