Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules

Muhammad Surajo Sanusi and Farooq Ahmad ()
Additional contact information
Farooq Ahmad: Birmingham City University

Journal of Economics and Financial Analysis, 2019, vol. 3, issue 1, 47-70

Abstract: The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths moving averages are employed and their performances are measured against the returns from simple buy and hold investment strategy. As a result, the paper finds that employed trading rules do not indicate that investors can make abnormal returns in oil and gas stocks. Moreover, the performances of short and long moving averages in predicting abnormal returns also do not suggest a conclusive evidence that any of the moving averages can result in more returns compared to others.

Keywords: Trading and Filter Rules; Moving Average Trading Rule; Buy and Hold Investment Strategy; Oil and Gas Stock Returns. (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ojs.tripaledu.com/index.php/jefa/article/download/43/47 (application/pdf)
https://ojs.tripaledu.com/index.php/jefa/article/view/43/52 (text/html)

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: https://EconPapers.repec.org/RePEc:trp:01jefa:jefa0027

DOI: 10.1991/jefa.v3i1.a23

Access Statistics for this article

Journal of Economics and Financial Analysis is currently edited by David Simon Hall

More articles in Journal of Economics and Financial Analysis from Tripal Publishing House
Bibliographic data for series maintained by David Simon Hall ().