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The Performance of Moving Average Rules in the Central and Eastern European Stock Markets
The Performance of Moving Average Rules in the Central and Eastern European Stock Markets

Author(s): Adrian Zoicaş-Ienciu
Subject(s): Economy
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: technical analysis; moving average trading rules; efficient market hypothesis; emerging markets

Summary/Abstract: This study evaluates the performance of moving average rules when used to forecast the evolution of five stock market indices from Central and Eastern European countries. We applied the popular moving average crossover rule combined with the “double-or-out” trading strategy on a 15 years sample of daily prices. Empirical results show that these basic trading rules can generate a positive excess return over the buy-and-hold return. Given the attraction that emerging markets still exerts to global investors we consider the study to be a relevant additional decision criteria when allocating the capital across markets.

  • Issue Year: VII/2014
  • Issue No: 2
  • Page Range: 165-178
  • Page Count: 14
  • Language: English