Estimating the Portion of Technical Analysts in a Market

16 Pages Posted: 29 Sep 2017

See all articles by Jonathan A Cook

Jonathan A Cook

U.S. Securities and Exchange Commission; affiliation not provided to SSRN

Date Written: December 1, 2016

Abstract

This paper presents structural estimates of the portion of technical analysts in six markets. I find that the portion of technical analysts in the US equity market has been decreasing since the 1970s. A simple asset pricing model predicts that both risk and return are increasing in the portion of technical analysts. This prediction is confirmed across stock market indexes for six countries.

Keywords: Technical Analysis, Market Volatility, Model Averaging

JEL Classification: G12, C11, G02

Suggested Citation

Cook, Jonathan A, Estimating the Portion of Technical Analysts in a Market (December 1, 2016). Applied Economics, Vol. 49, No. 41, p. 4127-4137, 2017, Available at SSRN: https://ssrn.com/abstract=3043933 or http://dx.doi.org/10.2139/ssrn.3043933

Jonathan A Cook (Contact Author)

U.S. Securities and Exchange Commission ( email )

affiliation not provided to SSRN

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