Investigation of the profitability of moving average strategies on the Romanian stock market

Olivia Andreea Baciu
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Olivia Andreea Baciu: Babes-Bolyai University, Cluj-Napoca

Theoretical and Applied Economics, 2013, vol. XX, issue Special I, 290-298

Abstract: The efficiency of the Romanian stock market is tested over 5 individual stocks during 2002-2011, with a test period and an out of sample period. Technical analysis strategies are applied on the data to identify if they return profits by exceeding the buy-andhold strategy. Best moving average trading rules are chosen out of the whole universe of rules. The results were protected from being out of luck by using the data snooping test Hansen’s Superior Predictive Ability. Technical analysis did not outperform the buy-and-hold strategies. More, when transaction costs were considered the moving average strategies returned even lower performance compared to the benchmark strategy. It turns out that there are no sufficient reasons to consider the moving average strategies profitable on the Romanian market when compared to the buy-and-hold one.

Keywords: data snooping; moving average; strategies profitability. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xx:y:2013:i:special-i:p:290-298

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