Economics at your fingertips  

The performance of technical trading rules in Socially Responsible Investments

Andrew Urquhart and Hanxiong Zhang

International Review of Economics & Finance, 2019, vol. 63, issue C, 397-411

Abstract: This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.

Keywords: Socially responsible investments; Technical analysis; Data-snooping (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.iref.2019.05.002

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2020-05-02
Handle: RePEc:eee:reveco:v:63:y:2019:i:c:p:397-411