Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

1992 ◽  
Vol 47 (5) ◽  
pp. 1731-1764 ◽  
Author(s):  
WILLIAM BROCK ◽  
JOSEF LAKONISHOK ◽  
BLAKE LeBARON
Keyword(s):  
Stock Returns ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Stochastic Properties

scholarly journals Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange

2020 ◽  
Vol 12 (2) ◽  
pp. 165-176
Author(s):  
Muhammad Arif ◽  
Abdul Rauf Laghari ◽  
Avinash Advani
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Predictive Ability ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Future Studies ◽  
Portfolio Returns

This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We applied Han, Yang, and Zhou (2013), methodology to individual stock returns and found inconclusive evidence of MA timing strategy’s predictive ability to earn higher returns over buy and hold strategy. We also report market risk-adjusted returns to remove any market movement effects and apply alternative moving averages lag lengths to check the robustness of our results. We observe individual stock returns are noisier than portfolio returns and the simple technical trading rule of moving average lack the ability to predict individual stock returns. We propose the use of more complex trading rules in future studies to ascertain the profitability of technical trading rules in individual stocks.

scholarly journals Profitability of The Moving Averages Technical Trading Rules in an Emerging Stock Market-A Study of Individual Stocks Listed On Pakistan Stock Exchange

2018 ◽  
Vol 14 (2) ◽  
pp. 67-76
Author(s):  
Muhammad Arif ◽  
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Market Development ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Portfolio Returns

This paper investigates the gainfulness of moving averages (MA) timing method over the purchase and hold procedure for single stocks deal in Pakistan Stock Exchange. We used (Han et al., 2013) approach of single stock returns and indeterminate evidence of MA timing methodology 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.

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