An analysis of technical trading rules: The case of MENA markets

Jorg Bley and Mohsen Saad

Finance Research Letters, 2020, vol. 33, issue C

Abstract: We evaluate the performance of sixteen technical trading indicators across stock portfolios from thirteen MENA country markets, using a back testing approach. The individual indicators are classified as either Trend, Momentum, Volatility, or Cycle indicators. Differences in performance of individual trading indicators are identified. Outcomes are most sensitive to trading frequency and time out of market. The results suggest that MENA stock markets differ in level of efficiency.

Keywords: Technical trading indicators; Market efficiency; MENA stock markets (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319304143

DOI: 10.1016/j.frl.2019.04.038

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