The profitability of moving average trading rules in BRICS and emerging stock markets

Abstract

Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies have highlighted that these tools can generate positive alphas when compared with a buy-and-hold strategy, we studied the main stocks of the BRICS and emerging markets. We considered the period from 2000 to 2015 and observed different combinations of moving average strategies and periods. The main results indicate that, for some countries, there is a combination of periods for moving averages producing better outcomes.

Link: https://www.sciencedirect.com/science/article/abs/pii/S1062940816300742