Can technical analysis be used to forecast price changes in fianncial markets Until 1992, that question was answered with a resounding "no." This paper presents additional empirical evidence that simple technical rules do possess statistically different forecast power. However, the returns do...

We examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets. Our results indicate a strong intermarket dependence in the volatility of the cash and futures returns. Price innovations that originate in either the stock or futures...