Advanced Search
MyIDEAS: Login to save this article or follow this journal

Profitability of the Moving Average Strategy and the Episodic Dependencies: Empirical Evidence from European Stock

Contents:

Author Info

  • Alexandru Todea
  • Adrian Zoicas-Ienciu
  • Angela-Maria Filip

Abstract

Numerous recent studies are emphasizing the existence of different stock price behaviors, namely long random walk sub periods alternating with short ones characterized by strong linear and/or nonlinear correlations. All these studies suggest that these serial dependencies have an episodic nature. In this paper we investigate the profitability of an optimum moving average strategy selected from 15,000 combinations on the main European capital markets considering the episodic character of linear and/or nonlinear dependencies, the period under study being 1997-2008. The empirical results are consistent the assumptions made by the Adaptive Markets Hypothesis (AMH) of Lo (2004) regarding the fact that profit opportunities do exist from time to time. More than that, the paper proves that the profitability of those strategies is mainly due to nonlinear episodic dependencies.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ersj.eu/repec/ers/papers/09_1_p4.pdf
Download Restriction: no

Bibliographic Info

Article provided by European Research Studies Journal in its journal European Research Studies Journal.

Volume (Year): XII (2009)
Issue (Month): 1 ()
Pages: 63-72

as in new window
Handle: RePEc:ers:journl:v:xii:y:2009:i:1:p:63-72

Contact details of provider:
Web page: http://www.ersj.eu/

Related research

Keywords: Nonlinear dependence; Bi-correlation; Market Efficiency; Technical Analysis.;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
  2. Eleftherios Thalassinos & Pantelis E. Thalassinos, 2006. "Stock Markets' Integration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 3-14.
  3. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
  4. Alexandru Todea & Adrian Zoicas-Ienciu, 2008. "Episodic dependencies in Central and Eastern Europe stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1123-1126.
  5. Lagoarde-Segot, Thomas & Lucey, Brian M., 2008. "Efficiency in emerging markets--Evidence from the MENA region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 94-105, February.
  6. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  7. Eleftherios THALASSINOS, 2008. "Trends and Developments in the European Financial Sector," European Financial and Accounting Journal, University of Economics, Prague, vol. 2008(3), pages 44-61.
  8. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
  9. Brooks, Chris & Hinich, Melvin J, 2001. "Bicorrelations and Cross-Bicorrelations As Non-linearity Tests and Tools for Exchange Rate Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 181-96, April.
  10. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2006. "Episodic nonlinearity in Latin American stock market indices," Applied Economics Letters, Taylor & Francis Journals, vol. 13(3), pages 195-199.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ers:journl:v:xii:y:2009:i:1:p:63-72. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eleni Giannakopoulou).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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