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Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules

Author

Listed:
  • Muhammad Surajo Sanusi
  • Farooq Ahmad

    (Birmingham City University
    Robert Gordon University)

Abstract

The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths moving averages are employed and their performances are measured against the returns from simple buy and hold investment strategy. As a result, the paper finds that employed trading rules do not indicate that investors can make abnormal returns in oil and gas stocks. Moreover, the performances of short and long moving averages in predicting abnormal returns also do not suggest a conclusive evidence that any of the moving averages can result in more returns compared to others.

Suggested Citation

  • Muhammad Surajo Sanusi & Farooq Ahmad, 2019. "Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 3(1), pages 47-70.
    • Handle: RePEc:trp:01jefa:jefa0027
    DOI: 10.1991/jefa.v3i1.a23
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Trading and Filter Rules; Moving Average Trading Rule; Buy and Hold Investment Strategy; Oil and Gas Stock Returns.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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