Value-add in technical analysis on the JSE Bond Market

 

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dc.contributor.author Haddad, Zavier en_ZA
dc.date.accessioned 2018-01-22T12:43:17Z
dc.date.available 2018-01-22T12:43:17Z
dc.date.issued 2017 en_ZA
dc.identifier.citation Haddad, Z. 2017. Value-add in technical analysis on the JSE Bond Market. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/26864
dc.description.abstract Trading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets in South Africa, indicating there is less market efficiency within bond trading. Technical analysis relies on market inefficiencies to achieve an informational advantage and so there could be technical analysis based trading opportunities within bond trading. Bollinger Bands are one of the more prominent technical analysis methods. In this dissertation they are used in trading simulations to generate buy and sell signals in order to test if there is any value-add in their implementation. The dissertation attempts improve Bollinger Band based trading in two ways. The first involves attempts to more accurately estimate the underlying distribution of the time series, that is assumed to be normal in the standard methodology. It is shown that no additional benefit is derived from the alternative distribution estimation methods. Bollinger Bands make an assumption of stationarity on the time series on which they are implimented and so the second attempt at improved accuracy addresses this notion. Cointegration is used to generate linear combinations of bonds that are stationary, leading to more accurate application of the Bollinger Bands. The stationary combination of bonds produces positive results from the trading simulations, primarily within the combinations that are generated from a linear combination of less bonds and that posses larger variation. Not considering the liquidity assumtions, the positive results show that there is value-add within specific technical analysis based trading strategies. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Mathematical Finance en_ZA
dc.title Value-add in technical analysis on the JSE Bond Market en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department Division of Actuarial Science en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MPhil en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Haddad, Z. (2017). <i>Value-add in technical analysis on the JSE Bond Market</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/26864 en_ZA
dc.identifier.chicagocitation Haddad, Zavier. <i>"Value-add in technical analysis on the JSE Bond Market."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017. http://hdl.handle.net/11427/26864 en_ZA
dc.identifier.vancouvercitation Haddad Z. Value-add in technical analysis on the JSE Bond Market. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2017 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/26864 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Haddad, Zavier AB - Trading on the JSE Bond Market is still done in an archaic fashion when compared to the highly digitalised trading done within the equities markets in South Africa, indicating there is less market efficiency within bond trading. Technical analysis relies on market inefficiencies to achieve an informational advantage and so there could be technical analysis based trading opportunities within bond trading. Bollinger Bands are one of the more prominent technical analysis methods. In this dissertation they are used in trading simulations to generate buy and sell signals in order to test if there is any value-add in their implementation. The dissertation attempts improve Bollinger Band based trading in two ways. The first involves attempts to more accurately estimate the underlying distribution of the time series, that is assumed to be normal in the standard methodology. It is shown that no additional benefit is derived from the alternative distribution estimation methods. Bollinger Bands make an assumption of stationarity on the time series on which they are implimented and so the second attempt at improved accuracy addresses this notion. Cointegration is used to generate linear combinations of bonds that are stationary, leading to more accurate application of the Bollinger Bands. The stationary combination of bonds produces positive results from the trading simulations, primarily within the combinations that are generated from a linear combination of less bonds and that posses larger variation. Not considering the liquidity assumtions, the positive results show that there is value-add within specific technical analysis based trading strategies. DA - 2017 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2017 T1 - Value-add in technical analysis on the JSE Bond Market TI - Value-add in technical analysis on the JSE Bond Market UR - http://hdl.handle.net/11427/26864 ER - en_ZA


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