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An analysis of technical trading rules: The case of MENA markets

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  • Bley, Jorg
  • Saad, Mohsen

Abstract

We evaluate the performance of sixteen technical trading indicators across stock portfolios from thirteen MENA country markets, using a back testing approach. The individual indicators are classified as either Trend, Momentum, Volatility, or Cycle indicators. Differences in performance of individual trading indicators are identified. Outcomes are most sensitive to trading frequency and time out of market. The results suggest that MENA stock markets differ in level of efficiency.

Suggested Citation

  • Bley, Jorg & Saad, Mohsen, 2020. "An analysis of technical trading rules: The case of MENA markets," Finance Research Letters, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319304143
    DOI: 10.1016/j.frl.2019.04.038
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    References listed on IDEAS

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    More about this item

    Keywords

    Technical trading indicators; Market efficiency; MENA stock markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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