Research Article
Testing the Predictive Power of Changes in Natural Gas Price Movements by Commonly Used Technical Analysis Indicators
Abstract
In
this study, it has been tested whether significant types of technical analysis
frequently used by investors in precious commodity purchases and sales have an
effect on the percentage changes of precious commodity prices. 02.01.2017 -
29.08.2017 Daily buy and sell signals in the range of 23.02.2017 to 29.08.2017
on the opening, closing, highest and lowest values of natural gas prices have
been produced and the effect of the obtained signals on the percentage changes
in natural gas prices by establishing a logit model. tested. As a result of the
obtained logit model findings, it was found that technical analysis methods such
as Relative
Strength Index,
Commodity Channel Index, Directional Moving Index and Aroon Oscillator have no
significant effect on the percentage change of natural gas prices, while
Bollinger Band and Gann Hilo Activator There is a significant and positive
relationship.
References
- Ahmed, P., Beck, K. and Goldreyer, E. (2000). Can Moving Average Technical Trading Strategies Help in Volatile and Declining Markets? A Study of Some Emerging Asian Markets, Managerial Finance, Vol. 6, pp. 49-62.Akdağ S., Deran A. ve İskenderoğlu (2018). PMI ile Çeşitli Finansal Göstergeler Arasındaki İlişkinin Dinamik Nedensellik Analizi ile İncelenmesi: Türkiye Örneği. Ö. Mersin: 22. Finans Sempozyumu.Atmeh M.A. & Dobbs I.M., (2004), Technical Analysis and The Stochastic Properties of The Jordanian Stock Market Index Return, Working Paper, The Business School, University of Newcastle upon Tyne.Aydemir, A. (2013). Bollinger Bantları ve Etkin Kullanımı. https://www.gcmforex.com/egitim/makale-arsivi/bollinger-bantlari-ve-etkin-kullanimi/ (Erişim Tarihi: 02.08.2018).Bollinger, J. (2001), Bollinger on Bollinger Bands, McGraw-Hill, USA, s.64.Chaitanya, P. & Sahu, R. (2005). Applıcation Of Technical Trading Strategies in Indian Stock Market, Thirteenth Annual Conference On Pacıfıc Basın Finance, Economıcs, And Accounting.Chong, T.T &, Ng, W.K. (2008). Technical analysis and the London stock exchange: Testing the MACD and RSI rules using the FT30. Appl. Econ. Lett., (15 ): 1111–1114.GCM Forex: https://www.gcmforex.com/egitim/teknik-analiz/gostergeler/ (Erişim Tarihi: 20.07.2018)Gokmen, M. (2018). Bollinger Bantlarının Teknik Analizde Kullanımı. https://koinmedya.com/2018/02/20/bolinger-bantlarinin-teknik-analizde-kullanimi/ (Erişim Tarihi: 20.07.2018).Golubev, S. (2015). How to Trade- Gann Hilo Activator Indicator and How Does it Work. https://www.mql5.com/en/blogs/post/502267 (Erişim Tarihi: 20.07.2018).Lento, C. (2007). Tests of Technical Trading Rules in The Asian-Pacific Equity Markets: A Bootstrap Approach, Academy of Financial and Accounting Studies Journal, Vol. 11, pp. 51–73.Lo, A.W, Harry, M. & Wang, J. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. The Journal Of Fınance, Vol. Lv, No. 4: 1705-1765. McKenzie, M.D. (2007). Technical Trading Rules in Emerging Markets and The 1997 Asian Currency Crises, Emerging Markets Finance and Trade, Vol. 43, pp. 46-73.Öndaş, M. (2018). ATR İndikatörü Nedir ve Nasıl Kullanılır? https://www.forexdunya.com/atr-indikatoru-nedir-nasil-kullanilir/ (Erişim Tarihi: 20.07.2018).Park, C.O & Irwin S.H.. (2007). What Do We Know About The Profitability of Technical Analysis? J. Econ. Surv., 21: 786–826.Ratner M, Leal, R.P.C (1999) Tests of Technical Trading Strategies in The Emerging Equity Markets of Latin America and Asia. J Bank Financ 23(12):1887–1905.Schaap, C.B. (2006). Using ADX to Trade Breakouts, Using ADX to Trade Breakouts, Pullbacks, and Reversal Patterns in Pullbacks, and Reversal Patterns in the Mini the Mini -sized Dow. Chicago Board of Trade. p:1-85.Selvam, P. (2017). A Study On Market Trend Prediction Using “Aroon Oscillator” with Special Reference To The Indian Private Sector Banks. Journal of Advance Management Research, ISSN: 2393-9664 Vol.05 Issue-05. https://jamrpublication.com/uploads/72/4371_pdf.pdf (Erişim Tarihi: 19.11.2018). Shachmurove Y., BenZion U., Klein P. & Yagil J., (2001), A Moving Average Comparison of the Tel-Aviv 25 and S & P 500 Stock Indices, No. 01-17, Penn CARESS Working Papers, UCLA Department of Economics.Şükrü, K. (2017). Relative Dtrength Index. http://forexdenetim.blogspot.com/2014/02/relative-strength-indexrsi.html (Erişim Tarihi: 20.07.2018).Ulcer Index: https://www.investopedia.com/terms/u/ulcerindex.asp
Doğalgaz Fiyat Hareketlerindeki Değişimlerin Yaygın Olarak Kullanılan Teknik Analiz Göstergeleriyle Tahmin Edilme Gücünün Test Edilmesi
Abstract
Bu çalışmada kıymetli
maden alım ve satımlarında yatırımcıların sıkça kullandığı önemli teknik analiz
göstergelerinin kıymetli maden fiyatlarına ait yüzde değişimleri üzerindeki
etkisi test edilmiştir. 02.01.2017 -
29.08.2017 günlük doğalgaz fiyatlarına ait açılış, kapanış, en yüksek ve
en düşük değerler üzerinden 23.02.2017 ile 29.08.2017 tarih aralığındaki günlük
al ve sat sinyalleri üretilmiş ve elde edilen sinyallerin doğalgaz
fiyatlarındaki yüzdesel değişimleri üzerindeki etkisi logit model kurularak
test edilmiştir. Elde edilen logit model bulgularına göre; Göreceli Güç Endeksi,
Emtia kanal endeksi, Ortalama Gerçek Fark, Ulser Endeksi, Yönlü Hareket Endeksi
ve Aroon Osilatörü gibi teknik analiz göstergelerinin doğalgaz fiyatlarının
yüzdelik değişimi üzerinde etkiye sahip olmadığına ulaşılmıştır. Diğer yandan, Bollinger
Band ve Gann Hilo Aktivatörü gibi teknik analiz göstergelerinin ise anlamlı ve
pozitif yönlü bir etkiye sahip olduğu sonucuna ulaşılmıştır.
References
- Ahmed, P., Beck, K. and Goldreyer, E. (2000). Can Moving Average Technical Trading Strategies Help in Volatile and Declining Markets? A Study of Some Emerging Asian Markets, Managerial Finance, Vol. 6, pp. 49-62.Akdağ S., Deran A. ve İskenderoğlu (2018). PMI ile Çeşitli Finansal Göstergeler Arasındaki İlişkinin Dinamik Nedensellik Analizi ile İncelenmesi: Türkiye Örneği. Ö. Mersin: 22. Finans Sempozyumu.Atmeh M.A. & Dobbs I.M., (2004), Technical Analysis and The Stochastic Properties of The Jordanian Stock Market Index Return, Working Paper, The Business School, University of Newcastle upon Tyne.Aydemir, A. (2013). Bollinger Bantları ve Etkin Kullanımı. https://www.gcmforex.com/egitim/makale-arsivi/bollinger-bantlari-ve-etkin-kullanimi/ (Erişim Tarihi: 02.08.2018).Bollinger, J. (2001), Bollinger on Bollinger Bands, McGraw-Hill, USA, s.64.Chaitanya, P. & Sahu, R. (2005). Applıcation Of Technical Trading Strategies in Indian Stock Market, Thirteenth Annual Conference On Pacıfıc Basın Finance, Economıcs, And Accounting.Chong, T.T &, Ng, W.K. (2008). Technical analysis and the London stock exchange: Testing the MACD and RSI rules using the FT30. Appl. Econ. Lett., (15 ): 1111–1114.GCM Forex: https://www.gcmforex.com/egitim/teknik-analiz/gostergeler/ (Erişim Tarihi: 20.07.2018)Gokmen, M. (2018). Bollinger Bantlarının Teknik Analizde Kullanımı. https://koinmedya.com/2018/02/20/bolinger-bantlarinin-teknik-analizde-kullanimi/ (Erişim Tarihi: 20.07.2018).Golubev, S. (2015). How to Trade- Gann Hilo Activator Indicator and How Does it Work. https://www.mql5.com/en/blogs/post/502267 (Erişim Tarihi: 20.07.2018).Lento, C. (2007). Tests of Technical Trading Rules in The Asian-Pacific Equity Markets: A Bootstrap Approach, Academy of Financial and Accounting Studies Journal, Vol. 11, pp. 51–73.Lo, A.W, Harry, M. & Wang, J. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. The Journal Of Fınance, Vol. Lv, No. 4: 1705-1765. McKenzie, M.D. (2007). Technical Trading Rules in Emerging Markets and The 1997 Asian Currency Crises, Emerging Markets Finance and Trade, Vol. 43, pp. 46-73.Öndaş, M. (2018). ATR İndikatörü Nedir ve Nasıl Kullanılır? https://www.forexdunya.com/atr-indikatoru-nedir-nasil-kullanilir/ (Erişim Tarihi: 20.07.2018).Park, C.O & Irwin S.H.. (2007). What Do We Know About The Profitability of Technical Analysis? J. Econ. Surv., 21: 786–826.Ratner M, Leal, R.P.C (1999) Tests of Technical Trading Strategies in The Emerging Equity Markets of Latin America and Asia. J Bank Financ 23(12):1887–1905.Schaap, C.B. (2006). Using ADX to Trade Breakouts, Using ADX to Trade Breakouts, Pullbacks, and Reversal Patterns in Pullbacks, and Reversal Patterns in the Mini the Mini -sized Dow. Chicago Board of Trade. p:1-85.Selvam, P. (2017). A Study On Market Trend Prediction Using “Aroon Oscillator” with Special Reference To The Indian Private Sector Banks. Journal of Advance Management Research, ISSN: 2393-9664 Vol.05 Issue-05. https://jamrpublication.com/uploads/72/4371_pdf.pdf (Erişim Tarihi: 19.11.2018). Shachmurove Y., BenZion U., Klein P. & Yagil J., (2001), A Moving Average Comparison of the Tel-Aviv 25 and S & P 500 Stock Indices, No. 01-17, Penn CARESS Working Papers, UCLA Department of Economics.Şükrü, K. (2017). Relative Dtrength Index. http://forexdenetim.blogspot.com/2014/02/relative-strength-indexrsi.html (Erişim Tarihi: 20.07.2018).Ulcer Index: https://www.investopedia.com/terms/u/ulcerindex.asp
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Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance |
| Journal Section | Articles |
| Authors | |
| Publication Date | December 31, 2019 |
| Published in Issue | Year 2019 Volume: 8 Issue: 4 |
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