Simple technical trading rules in the New Zealand and Australian markets

Abstract

This study investigates how well technical trading rules can be applied to the New Zealand and Australian stock markets. Brock, Lakonishok and LeBaron (1992) formulated methodology to test predictability in stock prices using two groups of technical trading rules — moving average and trading range break. My research uses these technical trading rules to test for the presence of predictability in New Zealand and Australian stock prices from July 1991 to June 2003. To date, no other studies have tested the predictive ability of these particular technical trading rules on New Zealand and Australian data. Thus, this study fills a gap in the literature. It provides little support for the predictions of technical analysis in New Zealand and Australia.