Peer-Reviewed Journal Details
Mandatory Fields
Sobreiro, VA;da Costa, TRCC;Nazario, RTF;Silva, JLE;Moreira, EA;Lima, MC;Kimura, H;Zambrano, JCA
2016
November
North American Journal of Economics and Finance
The profitability of moving average trading rules in BRICS and emerging stock markets
Published
0 ()
Optional Fields
EFFICIENT CAPITAL-MARKETS TECHNICAL ANALYSIS RANDOM-WALKS PRICES TRENDS ALGORITHMS LIQUIDITY SELECTION FORECAST RETURNS
38
86
101
Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the main stocks of the BRICS and emerging markets. We considered the period from 2000 to 2015 and observed different combinations of moving average strategies and periods. The main results indicate that, for some countries, there is a combination of periods for moving averages producing better outcomes. (C) 2016 Elsevier Inc. All rights reserved.
NEW YORK
1062-9408
10.1016/j.najef.2016.08.003
Grant Details