Bernhard Zwergel

Performance of Candlestick Analysis on Intraday Futures Data

Many practitioners use technical trading in derivatives markets, especially futures. Academic researchers, by contrast, consider “charting” to be without merit because it would violate the principle of market efficiency with respect to publicly available information, in particular, the history of past prices. In truth, however, this opinion is based more on conviction than on extensive research, the excuse being that analyzing chart patterns is too subjective to be amenable to rigorous statistical analysis. In this article, Fock, Klein, and Zwergel put one very popular charting technique, the “candlestick” method, to the test. They start by developing specific criteria for a set of basic candlestick patterns, and then measure predictive performance with intraday data from two major futures, the DAX stock index contract, and the Bund interest rate future. And guess what? The academics are right! The authors find no evidence of predictive ability from candlestick patterns alone, or in combination with other common technical indicators, like momentum.

Reconsidering the impact of national soccer results on the FTSE 100

In past decades, many empirical studies revealed return anomalies in many different asset classes and markets. Very recent publications have, however, even found evidence that stock markets react to the results of soccer matches. In this article, we argue that such empirical studies should be analysed carefully; we thus endorse the use of replication studies to verify results. Consequently, by rebuilding the study of Ashton et al. (2003), we are able to detect mistakes in the empirical set-up. Based on these findings, we demonstrate how even minor flaws can have a crucial influence on the results of such studies and point out pitfalls that are frequently encountered. We furthermore emphasize the importance of robustness checks to validate the results of empirical studies.

On the exploitability of the turn-of-the-month effect–an international perspective

Many empirical studies have found that patterns in stock index returns are seasonally related, which is contrary to the weak form of the Efficient Market Hypothesis (EMH). This article takes a closer look at the Turn-Of-the-Month Effect (TOME) and its economic relevance. By scrutinizing the exploitability and global persistence of the TOME, the ongoing discussion about the possibilities of using scientific research on seasonal anomalies for the creation of trading strategies is extended. This article is the first in the TOME literature to consider major non-US futures and to evaluate trading strategies using several risk-adjusted performance measures. Furthermore, it shows that an out-of-sample trading strategy based on the TOME is profitable in all studied futures, including when transaction costs and slippage are taken into account.

Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting

This paper examines the relation between investor sentiment and exchange rate movements. We use a unique dataset of private and institutional investors’ sentiment and discover that institutional sentiment significantly predicts returns over medium‐term horizons in the EUR/USD market. While institutional investors seem to correctly identify the medium‐run direction of this market, private investors’ sentiment emerges as a contrarian indicator at first sight, however, its predictive power fluctuates heavily and is sample dependent. Our results point towards local investors having an informational advantage in exchange rate forecasting. We test for economic relevance with a simple but realistic out‐of‐sample trading strategy which yields significant results.

Private ethical fund investors across countries and time: a survey-based review

Purpose - – This paper aims to provide an overview of the literature to point out similarities and differences among private ethical investors across countries and time. Over the past three decades, many surveys have been conducted to advance the understanding of the demographic characteristics, motivation and morals of private ethical investors across countries and time. To date, the survey-based evidence on private investors into ethical funds is geographically rather segmented, and the research questions are fairly diverse. This permits only very temporally or regionally selective conclusions. Thereby, the authors identify interesting topics for future research. Design/methodology/approach - – To identify the relevant literature for our review, the authors carried out a structured Boolean keyword search using major library services and databases. Findings - – When questions about negative screening criteria are presented in a direct investment context, the consensus of private ethical investors “worldwide” (on average) is that social screening issues are most important, followed by ecological and moral topics. The percentage of ethical funds in the fund portfolio of the average private ethical investor in Europe seems to increase when the investor exhibits high degrees of pro-social attitudes and perceived consumer effectiveness. European private ethical investors are of the opinion that ethical funds perform worse but are less risky than conventional funds. Practical implications - – The authors make suggestions on how investment companies should design their funds so that they can attract more socially responsible investors. Originality/value - – The paper is of particular value because it focuses on private investors in the fast growing retail market of socially responsible investment funds.

Mögliche Verzerrungen und Fehler in der empirischen Kapitalmarktforschung

Im Folgenden wird eine Übersicht über mögliche Verzerrungen und Fehler (VuF) in der empirischen Kapitalmarktforschung gegeben. Untersucht wird, welche Umstände berücksichtigt werden müssen, um bei einer empirischen Untersuchung des Kapitalmarkts möglichst unverfälschte Ergebnisse zu erhalten. Als erstes wird daher ein Schema erstellt, dass es erlaubt, die möglichen VuF sinnvoll zu gliedern, um anschließend detailliert auf eine Auswahl möglicher Probleme im Datenmaterial einzugehen. Denn nur, wenn die Daten und ihre Eigenheiten genau bekannt sind, kann eine geeignete Analysemethode gewählt werden, und nur dann sind die Ergebnisse sinnvoll interpretierbar.

The Classification of Candlestick Charts: Laying the Foundation for Further Empirical Research

The academic discussion about technical analysis has a long tradition, in American literature as well as in the German scientific community. Lo et al. (2000) laid the foundation for empirical research on the “classical” technical indicators (like “head-and-shoulders” formations) with their paper “Foundations of Technical analysis”.