Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules
Journal Title: Journal of Economics and Financial Analysis - Year 2019, Vol 3, Issue 1
Abstract
The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths moving averages are employed and their performances are measured against the returns from simple buy and hold investment strategy. As a result, the paper finds that employed trading rules do not indicate that investors can make abnormal returns in oil and gas stocks. Moreover, the performances of short and long moving averages in predicting abnormal returns also do not suggest a conclusive evidence that any of the moving averages can result in more returns compared to others.
Authors and Affiliations
MUHAMMAD SURAJO SANUSI, Farooq AHMAD
Keywords
Related Articles
- EP ID EP491949
- DOI -
- Views 123
- Downloads 0
Can Management Practices Make a Difference? Nonprofit Organization Financial Performance during Times of Economic Stress
The economic crisis presented unprecedented challenges to nonprofit organizations to sustain their services. In this study, we examined both financial and management factors that influence the financial performance of no...
Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules
The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths...
Launch Decisions of Pharmaceutical Companies
This paper models the launch decision of pharmaceutical companies in regard to new drugs and country markets. New drugs are launched with a delay or not launched at all in many countries. Considering that many of these n...
Analysis of Equity β Components: New Results and Prospectives in a Low β Framework
This work aims to exploit the so-called "Beta anomaly" regarding the risk-reward relationship, and set up rules and methodologies in order to build new efficient portfolios. It is well known in literature, and among prac...
Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis
This research analyzes and extends the study of contagion for BRICS emerging stock markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign D...