Do variable length moving average trading rules matter during a financial crisis period?

機構典藏 > College of Business and Management > Department of Management Sciences > Journal Article > Item 987654321/90307

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Title:	Do variable length moving average trading rules matter during a financial crisis period?
Authors:	Yen-Sen Ni;Jen-Tsai Lee;Yi-Ching Liao
Keywords:	financial crisis;variable length MA;stock markets;BRICs;G10;G14
Date:	2012-05-04
Issue Date:	2013-06-10 16:08:51 (UTC+8)
Publisher:	Abingdon: Routledge
Abstract:	When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, suggesting that more detailed information should be investigated, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods.
Relation:	Applied Economics Letters 20(2), p.135-141
DOI:	10.1080/13504851.2012.684784
Appears in Collections:	[Department of Management Sciences] Journal Article

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