Market Timing Investment Methods on the Budapest Stock Exchange

Attila Zoltan Nagy ()
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Attila Zoltan Nagy: University of Pecs

Financial and Economic Review, 2024, vol. 23, issue 2, 105-130

Abstract: A large body of literature confirms that simple investment methods based on timing can outperform and thus be an alternative to traditional investment strategies. The study tests this hypothesis on the Budapest Stock Exchange stock index: a simple timing strategy using 4,619 moving averages was tested on 554,935 trades over the period from 1998 to 2022. The study finds that a wide range of the 4,619 variants performed well on in-sample data, but most could not achieve outperformance out of sample. In some cases, overfitting cannot be ruled out, nor can the effect of randomness due to the low number of cases. The robust variant selected on the in-sample data outperforms out of sample and over the full period at trading costs. However, at a one per cent significance level the Monte Carlo simulation of this variant does not allow the null hypothesis to be rejected, i.e. it cannot be ruled out that randomness or market noise caused the results.

Keywords: timing; technical analysis; stock markets; BUX index (search for similar items in EconPapers)
JEL-codes: C15 C41 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:mnb:finrev:v:23:y:2024:i:2:p:105-130

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