Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?

doi:10.1016/j.energy.2023.127113

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/125121

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/125121

Title:	Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?
Authors:	Ni, Yen-sen
Keywords:	Contrarian strategies;Momentum strategies;Technical trading rules;Trading signals;Clean energy indices
Date:	2023-03-09
Issue Date:	2024-03-01 12:06:48 (UTC+8)
Abstract:	As a result of climate change, investors are becoming more interested in investing in clean energy stocks, appealing to many investors due to the prospects of clean energy. Using contrarian trading rules such as the Stochastic Oscillator Index (SOI), Relative Strength Index (RSI), and Bollinger Bands (BBs), we reveal several interesting and important findings. First, we show that better subsequent performance is revealed after overbought rather than oversold phenomena are emitted, indicating that overreaction phenomena may not be temporary in clean energy indices. Second, we show that not only investing strategies but also trading rules are important, as better clean energy index performance is shown following overbought signals emitted by RSI trading rules. Third, we show that taking trading time into account can result in significantly better gains for investors, showing that trading signals issued at different quarters do matter when trading financial instruments closely related to clean energy indices, such as clean energy ETFs. Fourth, we show that, despite being labeled as two distinct clean indices, the S&P and NASDAQ clean energy indices perform very differently, implying that investors should consider the indices' context rather than their names.
Relation:	Energy 272,　127113
DOI:	10.1016/j.energy.2023.127113
Appears in Collections:	[管理科學學系暨研究所] 期刊論文

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