"Technical Analysis in Financial Markets"

Table 5.16 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 0.001701a 0.914 0.001054c 0.820a 0.001809a 0.826a 0.000759 0.668a

Sri Lanka CSE All Share 0.002353a 1.12 0.001397a 1.091 0.002399a 1.098 0.001095a 0.876

Thailand SET 0.002001a 0.886 0.001126b 0.915 0.001858a 0.879 0.001066b 0.759b

Taiwan TSE Composite 0.000866b 0.814a 0.00016 0.744a 0.000749b 0.718a 0.000143 0.754a

Austria ATX 0.000197 0.939 4.53E-06 0.754a 0.000337c 0.801a -0.00014 0.795a

Belgium Bel20 0.000242 1.019 -0.00024 0.986 0.000247 0.897 -0.00011 0.824a

Czech Republic PX50 0.001658a 0.927 0.000793b 0.939 0.001788a 0.953 0.000685c 0.941

Denmark KFX 0.000362c 0.966 -0.00028 1.015 0.000291 0.851a -0.000463b 1.014

Finland HEX General 0.000971b 0.794a 0.00024 0.835b 0.000838b 0.710a 0.000434 0.796a

France CAC40 7.79E-05 0.927c -0.00016 1.075 0.000166 0.830a -0.0001 1.012

Germany DAX30 -7.69E-05 0.882b -0.00026 0.897 -7.90E-05 0.811a -0.000462b 0.894

Greece ASE General 0.002186a 0.787a 0.000787c 0.861b 0.001652a 0.769a 0.000734 0.777a

Italy MIB30 0.000482 0.849b 3.00E-05 0.886 0.000725b 0.870c 0.000224 0.908

Netherlands AEX 2.99E-05 1.082 -0.00019 0.925 0.000148 0.812a -0.0001 0.923

Norway OSE All Share 0.000966a 0.829c 0.000587 0.812c 0.000882b 0.783b 0.000819b 0.796c

Portugal PSI General 0.001649a 0.923 0.0005 0.883 0.001133a 0.756a 0.000404 0.711a

Russia Moscow Times 0.003745a 0.877 0.002219a 0.832b 0.002736a 0.763a 0.002280a 0.672a

Slovakia SAX16 0.000806b 0.852 0.000495 1 0.000462 0.705a 0.000458 0.987

Spain IGBM 0.000297 0.941 -4.26E-05 0.974 0.000507b 0.800a -0.000427c 1.006

Sweden OMX 0.000349 0.926 -8.57E-05 0.932 0.000503c 0.741a -0.00031 0.743a

Switzerland SMI 0.000219 0.952 -7.53E-06 0.902 0.000243 0.838a -0.00016 0.853a

Turkey ISE100 0.002297a 0.94 0.000980c 0.942 0.001732a 0.984 0.001393b 0.895c

UK FTSE100 0.000179 0.891b -0.00019 1.026 0.00018 0.943 -5.44E-05 1.041

Ireland ISEQ 0.000295 0.913 -3.42E-05 0.908 0.000213 0.814a -0.00015 0.947

Egypt CMA 0.001220a 1.167 0.000863a 1.018 0.000990a 0.932 0.000740a 0.936

Israel TA100 0.000925a 0.943 3.77E-05 1.005 0.000879a 0.877c -5.67E-05 0.907

233

	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	0.001701a	0.914	0.001054c	0.820a	0.001809a	0.826a	0.000759	0.668a
Sri Lanka CSE All Share	0.002353a	1.12	0.001397a	1.091	0.002399a	1.098	0.001095a	0.876
Thailand SET	0.002001a	0.886	0.001126b	0.915	0.001858a	0.879	0.001066b	0.759b
Taiwan TSE Composite	0.000866b	0.814a	0.00016	0.744a	0.000749b	0.718a	0.000143	0.754a
Austria ATX	0.000197	0.939	4.53E-06	0.754a	0.000337c	0.801a	-0.00014	0.795a
Belgium Bel20	0.000242	1.019	-0.00024	0.986	0.000247	0.897	-0.00011	0.824a
Czech Republic PX50	0.001658a	0.927	0.000793b	0.939	0.001788a	0.953	0.000685c	0.941
Denmark KFX	0.000362c	0.966	-0.00028	1.015	0.000291	0.851a	-0.000463b	1.014
Finland HEX General	0.000971b	0.794a	0.00024	0.835b	0.000838b	0.710a	0.000434	0.796a
France CAC40	7.79E-05	0.927c	-0.00016	1.075	0.000166	0.830a	-0.0001	1.012
Germany DAX30	-7.69E-05	0.882b	-0.00026	0.897	-7.90E-05	0.811a	-0.000462b	0.894
Greece ASE General	0.002186a	0.787a	0.000787c	0.861b	0.001652a	0.769a	0.000734	0.777a
Italy MIB30	0.000482	0.849b	3.00E-05	0.886	0.000725b	0.870c	0.000224	0.908
Netherlands AEX	2.99E-05	1.082	-0.00019	0.925	0.000148	0.812a	-0.0001	0.923
Norway OSE All Share	0.000966a	0.829c	0.000587	0.812c	0.000882b	0.783b	0.000819b	0.796c
Portugal PSI General	0.001649a	0.923	0.0005	0.883	0.001133a	0.756a	0.000404	0.711a
Russia Moscow Times	0.003745a	0.877	0.002219a	0.832b	0.002736a	0.763a	0.002280a	0.672a
Slovakia SAX16	0.000806b	0.852	0.000495	1	0.000462	0.705a	0.000458	0.987
Spain IGBM	0.000297	0.941	-4.26E-05	0.974	0.000507b	0.800a	-0.000427c	1.006
Sweden OMX	0.000349	0.926	-8.57E-05	0.932	0.000503c	0.741a	-0.00031	0.743a
Switzerland SMI	0.000219	0.952	-7.53E-06	0.902	0.000243	0.838a	-0.00016	0.853a
Turkey ISE100	0.002297a	0.94	0.000980c	0.942	0.001732a	0.984	0.001393b	0.895c
UK FTSE100	0.000179	0.891b	-0.00019	1.026	0.00018	0.943	-5.44E-05	1.041
Ireland ISEQ	0.000295	0.913	-3.42E-05	0.908	0.000213	0.814a	-0.00015	0.947
Egypt CMA	0.001220a	1.167	0.000863a	1.018	0.000990a	0.932	0.000740a	0.936
Israel TA100	0.000925a	0.943	3.77E-05	1.005	0.000879a	0.877c	-5.67E-05	0.907