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

Vinicius Amorim Sobreiro, Thiago Raymon Cruz Cacique da Costa, Rodolfo Toríbio Farias Nazário, Jéssica Lima e Silva, Eduardo Alves Moreira, Marcius Correia Lima Filho, Herbert Kimura and Juan Arismendi Zambrano ()

The North American Journal of Economics and Finance, 2016, vol. 38, issue C, 86-101

Abstract: 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.

Keywords: BRICS; Emerging markets; Moving average; Technical analysis; Trading systems (search for similar items in EconPapers)
JEL-codes: G1 M1 M2 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:38:y:2016:i:c:p:86-101

DOI: 10.1016/j.najef.2016.08.003

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