Profitability of The Moving Averages Technical Trading Rules in an Emerging Stock Market-A Study of Individual Stocks Listed On Pakistan Stock Exchange
Download| Volume 14 Issue 2 2018 | |
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| Author(s): |
Muhammad Arif
Muddasar Hasan
Abu Bakr
Muhammad Ziaullah
Muhammad Ali Tarer
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| Abstract | This paper investigates the gainfulness of the moving averages (MA) timing method over the purchase and holds procedure for single stocks deal in Pakistan Stock Exchange. We used the approach of single stock returns and indeterminate evidence of MA timing methodology's insightful ability to increase higher returns over the strategy of purchase and hold. In addition, we report market risk-adjusted returns to expel any market development impacts and apply elective moving averages lag lengths to check the robustness of our outcomes. We look at that individual stock returns are noisier than portfolio returns and the fundamental technical exchanging principle of moving average don't be able to anticipate single stock returns. We propose the utilization of more perplexing trading rules in future investigations to determine the gainfulness of technical trading rules in individual stocks. |
| Keywords | Individual stocks, moving averages, technical analysis |
| Year | 2018 |
| Volume | 14 |
| Issue | 2 |
| Type | Short Report |
| Recognized by | Higher Education Commission of Pakistan, HEC | Category | "Y" | Journal Name | IBT Journal of Business Studies | Publisher Name | ILMA University | Jel Classification | L1, P42, A11 | DOI | http://dx.doi.org/10.46745/ilma.jbs.2018.14.02.06 | ISSN no (E, Electronic) | 2409-6520 | ISSN no (P, Print) | 2416-8393 | Country | Pakistan | City | Karachi | Institution Type | University | Journal Type | Open Access | Type of Review | Double Blind Peer Reviewed | Format | Paper Link | http://ibtjbs.ilmauniversity.edu.pk/journal/jbs/14.2/6.pdf | Page | 67-76 | References | Chang, Y. H., Chan, C. C., & Chiang, Y. C. (2014). Volume Information and the Profitability of Technical Trading. Asia‐Pacific Journal of Financial Studies, 43(2), 249-272. Chong, T. T.-L., & Ip, H. T.-S. (2009). Do momentum-based strategies work in emerging currency markets? Pacific-Basin Finance Journal, 17(4), 479-493. Coakley, J., Marzano, M., & Nankervis, J. (2016). How profitable are FX technical trading rules? International Review of Financial Analysis, 45, 273-282. de Souza, M. J. S., Ramos, D. G. F., Pena, M. G., Sobreiro, V. A., & Kimura, H. (2018). Examination of the profitability of technical analysis based on moving average strategies in BRICS. Financial Innovation, 4(1), 1-18. Fernández-Pérez, A., Fernández-Rodríguez, F., & Sosvilla-Rivero, S. (2012). Exploiting trends in the foreign exchange markets. Applied Economics Letters, 19(6), 591-597. Fernández-Rodríguez, F., Sosvilla-Rivero, S., & Andrada-Felix, J. (2003). Technical analysis in foreign exchange markets: evidence from the EMS. Applied Financial Economics, 13(2), 113-122. Gunasekarage, A., & Power, D. M. (2001). The profitability of moving average trading rules in South Asian stock markets. Emerging Markets Review, 2(1), 17-33. Han, Y., Yang, K., & Zhou, G. (2013). A new anomaly: The cross-sectional profitability of technical analysis. Journal of Financial and Quantitative Analysis, 48(05), 1433- 1461. McKenzie, M. D. (2007). Technical trading rules in emerging markets and the 1997 Asian currency crises. Emerging Markets Finance and Trade, 43(4), 46-73. Metghalchi, M., Pinho, A., & Sarmento, A. (2014). THE EFFICIENCY OF EMERGING CAPITAL MARKETS: THE CASE OF POLAND. Journal of Prediction Markets, 8(1). Pring, M. J. (2014). Technical Analysis (Fifth ed.): McGraw Hill. Stanković, J., Marković, I., & Stojanović, M. (2015). Investment strategy optimization using technical analysis and predictive modeling in emerging markets. Procedia Economics and Finance, 19, 51-62. Tajaddini, R., & Crack, T. F. (2012). Do momentum-based trading strategies work in emerging currency markets? Journal of International Financial Markets, Institutions and Money, 22(3), 521-537. Waheed, A. (2013). Analysis of Moving Average Convergence Divergence (MACD) as a Tool of Equity Trading at the Karachi Stock Exchange. Zhu, Y., & Zhou, G. (2009). Technical analysis: An asset allocation perspective on the use of moving averages. Journal of Financial Economics, 92(3), 519-544. |