Portfolio Size and Profitability of Moving Average Timing Strategy – A cross country comparison

Muhammad Arif; Nuttawat Visaltanachoti; Mudassar Hasan; Muhammad Abubakr Naeem

Portfolio Size and Profitability of Moving Average Timing Strategy – A cross country comparison

Muhammad Arif^*, Nuttawat Visaltanachoti, Mudassar Hasan, Muhammad Abubakr Naeem

^*Corresponding author for this work

Research output: Contribution to conference › Paper › peer-review

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Abstract

Using popular technical trading rules of moving averages, this study documents the profitability of technical analysis for equal-weighted random portfolios from the Australian (ASX) and New Zealand (NZX) Stock Markets. The findings confirm prior evidence on the profitability of technical analysis for portfolio trading in relatively illiquid financial markets that are part of small open economies. This study contributes to the technical analysis literature regarding the number of stocks in a portfolio (hereafter “portfolio size”) that a trader must hold to outperform a passive benchmark strategy. The findings suggest that an investor can consistently outperform a buy and hold strategy return by applying the MA timing strategy to a portfolio containing 80 or more random stocks.

Original language	English
Publication status	Published - 14 Feb 2019
Externally published	Yes
Event	23rd Annual New Zealand Finance Colloquium - Lincoln University, Lincoln, New Zealand Duration: 13 Feb 2019 → 15 Feb 2019 Conference number: 23 https://nzfc.ac.nz/index.html

Conference

Conference	23rd Annual New Zealand Finance Colloquium
Country/Territory	New Zealand
City	Lincoln
Period	13/02/19 → 15/02/19
Internet address	https://nzfc.ac.nz/index.html

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https://nzfc.ac.nz/papers/updated_19/

Cite this

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abstract = "Using popular technical trading rules of moving averages, this study documents the profitability of technical analysis for equal-weighted random portfolios from the Australian (ASX) and New Zealand (NZX) Stock Markets. The findings confirm prior evidence on the profitability of technical analysis for portfolio trading in relatively illiquid financial markets that are part of small open economies. This study contributes to the technical analysis literature regarding the number of stocks in a portfolio (hereafter “portfolio size”) that a trader must hold to outperform a passive benchmark strategy. The findings suggest that an investor can consistently outperform a buy and hold strategy return by applying the MA timing strategy to a portfolio containing 80 or more random stocks.",

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AU - Visaltanachoti, Nuttawat

AU - Hasan, Mudassar

AU - Naeem, Muhammad Abubakr

N1 - Conference code: 23

PY - 2019/2/14

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N2 - Using popular technical trading rules of moving averages, this study documents the profitability of technical analysis for equal-weighted random portfolios from the Australian (ASX) and New Zealand (NZX) Stock Markets. The findings confirm prior evidence on the profitability of technical analysis for portfolio trading in relatively illiquid financial markets that are part of small open economies. This study contributes to the technical analysis literature regarding the number of stocks in a portfolio (hereafter “portfolio size”) that a trader must hold to outperform a passive benchmark strategy. The findings suggest that an investor can consistently outperform a buy and hold strategy return by applying the MA timing strategy to a portfolio containing 80 or more random stocks.

AB - Using popular technical trading rules of moving averages, this study documents the profitability of technical analysis for equal-weighted random portfolios from the Australian (ASX) and New Zealand (NZX) Stock Markets. The findings confirm prior evidence on the profitability of technical analysis for portfolio trading in relatively illiquid financial markets that are part of small open economies. This study contributes to the technical analysis literature regarding the number of stocks in a portfolio (hereafter “portfolio size”) that a trader must hold to outperform a passive benchmark strategy. The findings suggest that an investor can consistently outperform a buy and hold strategy return by applying the MA timing strategy to a portfolio containing 80 or more random stocks.

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ER -

Portfolio Size and Profitability of Moving Average Timing Strategy – A cross country comparison

Abstract

Conference

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