Investigation into Optimal Trading Rules in Indian Stock Market

Gagari Chakrabarti () and Chitrakalpa Sen ()
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Gagari Chakrabarti: Presidency University
Chitrakalpa Sen: Auro University

Chapter Chapter 4 in Momentum Trading on the Indian Stock Market, 2013, pp 69-110 from Springer

Abstract: Abstract This chapter deals with momentum trading and possibility of a profitable trading strategy in the Indian stock market. It does so by examining the historical moving averages of the indexes. According to the trading rule, an investor should buy when price is above some moving average of historical prices and sell when price falls below some moving average. The study considers several moving averages, short run, medium run, and long run, and explores whether the general buy and sell strategies fare better than the holding strategy based on the moving average. Existence of a momentum strategy would reaffirm the doubt that the Indian stock market is not efficient. It will put a question mark to the invincibility of the market, as suggested by the efficient market hypothesis.

Keywords: Momentum trading; Optimal trading rule; Buy and sell strategy; Moving average; Indian stock market; Efficient market hypothesis (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spbchp:978-81-322-1127-3_4

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DOI: 10.1007/978-81-322-1127-3_4

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