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Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices

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  • Mitra, S.K.
  • Bawa, Jaslene

Abstract

In this study, we explore the possibility of generating trade opportunities and returns when a financial stock index series is trend persistent. Through application of Hurst coefficient based on the modified range to standard deviation analysis (Weron, 2002) in a sample of 31 leading global indices during the period December 2000 to November 2015, we found periods of trend persistence. We developed and tested a set of trading strategies on these periods of trend persistent in the financial series and found that significant positive returns can be generated when a series displayed upward trend persistence.

Suggested Citation

  • Mitra, S.K. & Bawa, Jaslene, 2017. "Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 124-135.
    • Handle: RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135
    DOI: 10.1016/j.physa.2016.11.063
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    References listed on IDEAS

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