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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Pavel Komissarov
The Impact of Liquidity on the Effectiveness of Technical Analysis
Economics
(Bachelor’s programme)
7
2016
In this paper the liquidity phenomenon on the Russian stock market is investigated, particularly its impact on the profitability of technical analysis. The main aim of the research is to find out if there is a certain area in terms of liquidity on the Russian market where technical analysis is the most effective. The research is conducted on the Russian stock exchange in the period from 2010 to 2015. Trading strategies on the basis of trend following indicators and oscillators are applied to shares traded on the market through the period. The profits generated by trading systems were than regressed on shares' liquidity factor. The results of this research do not provide the exact value of the liquidity's coefficient in the equation of the effectiveness of technical analysis but positive relation is certainly in place. Moreover, the style of profits' sensitivity to liquidity can be different depending on technical tools applied.

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