Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns

Min-Yuh Day, Yensen Ni and Paoyu Huang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 525, issue C, 349-372

Abstract: The sentiments of market participants may be aroused when a sharp rise (fall) in oil prices is emitted. In this study, we take the trading signal emitted by the technical indicator into account accompanied with the sharp rise (fall) in oil prices into account in trading stocks. We explore whether investors will profit by trading stocks when a sharp rise (fall) in oil prices and technical trading signal are emitted together. Owing to big data concerns in employing the constituent stocks of DJ 30, FTSE 100, and SSE 50 as our samples, investors can beat the market in trading stocks. The sharp fall in oil prices, such as over 5%, and the oversold technical trading signals by the SOI occurring together can lead to better performance than trading stocks and the sharp movement in oil prices emitted only. Results revealed are for trading the constituent stocks of DJ 30, FTSE 100, and SSE 50 without exception after taking big data into account.

Keywords: Technical indicators; Investors’ sentiments; Constituent stocks; Trading performance; Market efficiency (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372

DOI: 10.1016/j.physa.2019.03.038

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