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Does intraday technical trading have predictive power in precious metal markets?

Does intraday technical trading have predictive power in precious metal markets?
Does intraday technical trading have predictive power in precious metal markets?
Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules have any significant predictive power in the precious metals market through three popular moving average rules. We find that using the standard parameters previously used in the literature, technical trading rules offer no predictive power whatsoever. However after utilising a universe of parameters, we find a number of parameter combinations offer significant predictability in the gold market, but there remains no significant predictability in the silver market. Our results show that the longer parameters of the technical trading rules are more successful than the traditional parameters chosen in the literature. Therefore intraday technical trading rules have some predictive power in the gold market but offer no significant predictability in the silver market.
gold, precious metals, predictability, silver, Technical analysis
1042-4431
102-113
Batten, Jonathan A.
f0c8ada0-9093-4884-a3bd-6921b38aacc9
Lucey, Brian M.
6673ca0d-f2c1-4527-b4cb-876cdc8a04fd
Mcgroarty, Francis
693a5396-8e01-4d68-8973-d74184c03072
Peat, Maurice
4ca904f2-07b4-491b-acf8-83255ceae9bf
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03
Batten, Jonathan A.
f0c8ada0-9093-4884-a3bd-6921b38aacc9
Lucey, Brian M.
6673ca0d-f2c1-4527-b4cb-876cdc8a04fd
Mcgroarty, Francis
693a5396-8e01-4d68-8973-d74184c03072
Peat, Maurice
4ca904f2-07b4-491b-acf8-83255ceae9bf
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03

Batten, Jonathan A., Lucey, Brian M., Mcgroarty, Francis, Peat, Maurice and Urquhart, Andrew (2018) Does intraday technical trading have predictive power in precious metal markets? Journal of International Financial Markets, Institutions and Money, 52, 102-113. (doi:10.1016/j.intfin.2017.06.005).

Record type: Article

Abstract

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules have any significant predictive power in the precious metals market through three popular moving average rules. We find that using the standard parameters previously used in the literature, technical trading rules offer no predictive power whatsoever. However after utilising a universe of parameters, we find a number of parameter combinations offer significant predictability in the gold market, but there remains no significant predictability in the silver market. Our results show that the longer parameters of the technical trading rules are more successful than the traditional parameters chosen in the literature. Therefore intraday technical trading rules have some predictive power in the gold market but offer no significant predictability in the silver market.

Text Does intraday technical analysis have value in PM markets v6-AU - Accepted Manuscript
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More information

Accepted/In Press date: 30 June 2017
e-pub ahead of print date: 1 July 2017
Published date: January 2018
Keywords: gold, precious metals, predictability, silver, Technical analysis
Organisations: Banking & Finance, Southampton Marine & Maritime Institute

Identifiers

Local EPrints ID: 411993
URI: https://eprints.soton.ac.uk/id/eprint/411993
ISSN: 1042-4431
PURE UUID: e8ea1fba-8441-4c9d-a14c-9dfa3026aa83
ORCID for Francis Mcgroarty: ORCID iD orcid.org/0000-0003-2962-0927

Catalogue record

Date deposited: 04 Jul 2017 16:31
Last modified: 04 Jul 2018 04:01

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Contributors

Author: Jonathan A. Batten
Author: Brian M. Lucey
Author: Maurice Peat
Author: Andrew Urquhart

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