An analysis of technical trading rules: The case of MENA markets

被引：7

作者：

Bley, Jorg ^{[1
]}

Saad, Mohsen ^{[1
]}

机构：

[1] Amer Univ Sharjah, Sharjah, U Arab Emirates

来源：

FINANCE RESEARCH LETTERS | 2020年 / 33卷

关键词：

Technical trading indicators; Market efficiency; MENA stock markets; PROFITABILITY;

D O I：

10.1016/j.frl.2019.04.038

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We evaluate the performance of sixteen technical trading indicators across stock portfolios from thirteen MENA country markets, using a back testing approach. The individual indicators are classified as either Trend, Momentum, Volatility, or Cycle indicators. Differences in performance of individual trading indicators are identified. Outcomes are most sensitive to trading frequency and time out of market. The results suggest that MENA stock markets differ in level of efficiency.

引用

页数：9

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