Measuring abnormal returns on day trading : use of technical analysis

Abstract

The goal of the paper is to find out the relationship between indicators and intraday stock price using data from the United States stock market give a reasonable conclusion on how accurate the indicators reflect the stock price. Since the introduction of the electronic systems, more than 50,000 traders now trade on their stocks within intraday, referred to as day trades In this paper, we investigate whether day trading method generate abnormal return to investors. The typical technique indicators are moving average, relative strength index and slow stochastic. They are most frequency using by traders and hedge fund managers. The results are indicating the technique can able to generate the abnormal return. However the abnormal returns of few technique analyses are not significant. The distribution of abnormal return is most likely the random curve. Using the multiple indicators is the best way to generate the abnormal return in day trading.