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The Performance Of Roc On The Bse

Author

Listed:
  • Dan Gabriel Anghel

    (Bucharest University of Economic Studies)

Abstract

This paper focuses on evaluating the performances of the Rate of Change indicator, a very old and very simple technical analysis indicator, on the Romanian Stock Market. The Standard method, as described by Park and Irwin (2007), is used as the basis testing method. However, the methodology is improved versus standard literature and is similar with the one used by Anghel (2012) with some additional improvements. The data sample is comprised out of daily trading series for 20 companies listed on the Bucharest Stock Exchange starting with January 1, 2001 and up to December 31, 2012. The reported results show that the ROC indicator is not a very reliable profit generating tool. More importantly, it does a very poor job of producing excess risk adjusted returns for a potential investor when comparing it with the basic buy and hold strategy. Last but not least, it is not a reliable tool in lowering portfolio risk. All of these mean that the Rate of Change indicator is not a valuable tool for an actual investor on the Romanian Stock Market.

Suggested Citation

  • Dan Gabriel Anghel, 2013. "The Performance Of Roc On The Bse," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(Special I), pages 373-379, March.
    • Handle: RePEc:agr:journl:v:xx:y:2013:i:special-i:p:373-379
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