The profitability of seasonal trading timing: Insights from energy-related markets

Min-Yuh Day and Yensen Ni

Energy Economics, 2023, vol. 128, issue C

Abstract: Evaluating subsequent performance is critical in investment decision-making since investors make investment decisions now, but the profits generated will only be known later. However, the research on the significance of subsequent performance as trading signs issued by technical trading regulations in different seasons (hereafter referred to as seasonal effects) is limited and understudied, despite the widespread exploration of January and weekly effects in relevant studies. This study aimed to address this research gap and examine the impact of seasonal effects on clean energy and energy markets, revealing several critical findings. First, contrarian (momentum) trading rules generated better succeeding performance for the energy (clean energy) index than the clean energy (energy) index. Second, momentum (contrarian) trading rules generated better succeeding performance for the clean energy (energy) index than the energy (clean energy) index. Third, momentum (contrarian) trading rules exhibited stronger seasonal effects in Season 1 (Season 2) than in other seasons. Fourth, the analysis of RSI trading signals in Season 1 showed that the better succeeding index performance for clean energy was shown over 15% average holding period returns, compared to the near-zero mean daily returns for both clean energy and energy index returns over the data period. This study also indicates that considerable seasonal effects exist in both clean energy and energy markets.

Keywords: Seasonal trading timing; Contrarian strategies; Momentum strategies; Seasonal effects; Technical trading rules; Energy/clean energy markets (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006308

DOI: 10.1016/j.eneco.2023.107132

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