• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Journal articles
    • View Item
    • Home
    • Griffith Research Online
    • Journal articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • Technical trading with open interest: evidence from the German market

    Thumbnail
    View/Open
    83679_1.pdf (505.9Kb)
    Author(s)
    Lubnau, TM
    Todorova, N
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2012
    Metadata
    Show full item record
    Abstract
    This article investigates whether options' open interest can be incorporated successfully into technical trading strategies. A set of 2040 trading rules is applied to the German index DAX 30 and to the 10 German stocks with the highest market capitalization. The results show that open interest rules, when combined with information from the spot market, can improve the predictive power of technical trading rules. Both put and call open interest appear to contain information regarding future equity prices while the open interest differential performs very poorly. Best results are achieved for the DAX index, showing ...
    View more >
    This article investigates whether options' open interest can be incorporated successfully into technical trading strategies. A set of 2040 trading rules is applied to the German index DAX 30 and to the 10 German stocks with the highest market capitalization. The results show that open interest rules, when combined with information from the spot market, can improve the predictive power of technical trading rules. Both put and call open interest appear to contain information regarding future equity prices while the open interest differential performs very poorly. Best results are achieved for the DAX index, showing economically significant profits even when transaction costs are taken into account whereas the results are more mixed for individual options. Across all assets, out-of-the-money (OTM) calls and in-the-money (ITM) puts exhibit the strongest forecasting power for the utilized rules.
    View less >
    Journal Title
    Applied Financial Economics
    Volume
    22
    Issue
    10
    DOI
    https://doi.org/10.1080/09603107.2011.627210
    Copyright Statement
    © 2012 Taylor & Francis. This is an electronic version of an article published in Applied Financial Economics, Vol. 22(10), 2012, pp. 791-809. Applied Financial Economics is available online at: http://www.tandfonline.com with the open URL of your article.
    Subject
    Applied economics
    Financial economics
    Banking, finance and investment
    Publication URI
    http://hdl.handle.net/10072/50056
    Collection
    • Journal articles

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E
    • TEQSA: PRV12076

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander