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The profitability of moving average trading rules in South Asian stock markets

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  • Gunasekarage, Abeyratna
  • Power, David M.

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  • Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
    • Handle: RePEc:eee:ememar:v:2:y:2001:i:1:p:17-33
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    References listed on IDEAS

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    1. Patricia L. Chelley‐Steeley & James M. Steeley, 1997. "The Impact of Portfolio Diversification on Trading Rules Profits: Some Evidence for UK Share Portfolios," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(6), pages 759-779, July.
    2. James, F. E., 1968. "Monthly Moving Averages—An Effective Investment Tool?*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(3), pages 315-326, September.
    3. Hudson, Robert & Dempsey, Michael & Keasey, Kevin, 1996. "A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1121-1132, July.
    4. Robert A. Levy, 1967. "Relative Strength As A Criterion For Investment Selection," Journal of Finance, American Finance Association, vol. 22(4), pages 595-610, December.
    5. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 33-55, March.
    6. Charles J. Corrado & Suk-Hun Lee, 1992. "Filter Rule Tests Of The Economic Significance Of Serial Dependencies In Daily Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 369-387, December.
    7. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    8. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 285-300, September.
    9. Charles J. Corrado & Suk-Hun Lee, 1992. "Filter Rule Tests Of The Economic Significance Of Serial Dependencies In Daily Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(4), pages 369-387, December.
    10. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
    11. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
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