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The performance of technical trading rules in Socially Responsible Investments

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  • Urquhart, Andrew
  • Zhang, Hanxiong

Abstract

This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and mean-reverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that mean-reverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.

Suggested Citation

  • Urquhart, Andrew & Zhang, Hanxiong, 2019. "The performance of technical trading rules in Socially Responsible Investments," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 397-411.
    • Handle: RePEc:eee:reveco:v:63:y:2019:i:c:p:397-411
    DOI: 10.1016/j.iref.2019.05.002
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    More about this item

    Keywords

    Socially responsible investments; Technical analysis; Data-snooping;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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