IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v128y2023ics0140988323006308.html
   My bibliography  Save this article

The profitability of seasonal trading timing: Insights from energy-related markets

Author

Listed:
  • Day, Min-Yuh
  • Ni, Yensen

Abstract

Evaluating subsequent performance is critical in investment decision-making since investors make investment decisions now, but the profits generated will only be known later. However, the research on the significance of subsequent performance as trading signs issued by technical trading regulations in different seasons (hereafter referred to as seasonal effects) is limited and understudied, despite the widespread exploration of January and weekly effects in relevant studies. This study aimed to address this research gap and examine the impact of seasonal effects on clean energy and energy markets, revealing several critical findings. First, contrarian (momentum) trading rules generated better succeeding performance for the energy (clean energy) index than the clean energy (energy) index. Second, momentum (contrarian) trading rules generated better succeeding performance for the clean energy (energy) index than the energy (clean energy) index. Third, momentum (contrarian) trading rules exhibited stronger seasonal effects in Season 1 (Season 2) than in other seasons. Fourth, the analysis of RSI trading signals in Season 1 showed that the better succeeding index performance for clean energy was shown over 15% average holding period returns, compared to the near-zero mean daily returns for both clean energy and energy index returns over the data period. This study also indicates that considerable seasonal effects exist in both clean energy and energy markets.

Suggested Citation

  • Day, Min-Yuh & Ni, Yensen, 2023. "The profitability of seasonal trading timing: Insights from energy-related markets," Energy Economics, Elsevier, vol. 128(C).
    • Handle: RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006308
    DOI: 10.1016/j.eneco.2023.107132
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988323006308
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2023.107132?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006308. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.