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    The profitability of moving average trading rules in BRICS and emerging stock markets


    Sobreiro, Vinicius Amorim and da Costa, Thiago Raymon Cruz Cacique and Nazário, Rodolfo Toríbio Farias and Lima e Silva, Jéssica and Filho, Marcius Correia Lima and Kimura, Herbert and Arismendi Zambrano, Juan (2016) The profitability of moving average trading rules in BRICS and emerging stock markets. North American Journal of Economics and Finance, 38. pp. 86-101. ISSN 1062-9408

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    Abstract

    Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the main stocks of the BRICS and emerging markets. We considered the period from 2000 to 2015 and observed different combinations of moving average strategies and periods. The main results indicate that, for some countries, there is a combination of periods for moving averages producing better outcomes.

    Item Type: Article
    Keywords: BRICS; Emerging markets; Moving average; Technical analysis; Trading systems;
    Academic Unit: Faculty of Science and Engineering > Research Institutes > Hamilton Institute
    Item ID: 10207
    Identification Number: https://doi.org/10.1016/j.najef.2016.08.003
    Depositing User: Juan Arismendi Zambrano
    Date Deposited: 12 Nov 2018 14:59
    Journal or Publication Title: North American Journal of Economics and Finance
    Publisher: Elsevier
    Refereed: Yes
    URI:
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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