The profitability of moving average trading rules in BRICS and emerging stock markets

被引：20

作者：

Sobreiro, Vinicius Amorim ^{[1
]}

Cruz Cacique da Costa, Thiago Raymon ^{[1
]}

Farias Nazario, Rodolfo Toribio ^{[1
]}

Lima e Silva, Jessica ^{[2
]}

Moreira, Eduardo Alves ^{[3
]}

Lima Filho, Marcius Correia ^{[3
]}

Kimura, Herbert ^{[1
]}

Arismendi Zambrano, Juan Carlos ^{[4
,5
]}

机构：

[1] Univ Brasilia, Dept Management, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

[2] Univ Brasilia, Dept Accounting, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

[3] Univ Brasilia, Dept Econ, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

[4] Univ Fed Bahia, Dept Econ, Rua Barao de Jeremoabo, BR-6681154 Salvador, BA, Brazil

[5] Univ Reading, Henley Business Sch, ICMA Ctr, Reading RG6 6BA, Berks, England

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2016年 / 38卷

关键词：

BRICS; Emerging markets; Moving average; Technical analysis; Trading systems; EFFICIENT CAPITAL-MARKETS; TECHNICAL ANALYSIS; RANDOM-WALKS; PRICES; TRENDS; ALGORITHMS; LIQUIDITY; SELECTION; FORECAST; RETURNS;

D O I：

10.1016/j.najef.2016.08.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：86 / 101

页数：16

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