The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market

被引：2

作者：

Luis Miralles-Quiros, Jose ^{[1
]}

del Mar Miralles-Quiros, Maria ^{[1
]}

Valente Goncalves, Luis Miguel ^{[1
]}

机构：

[1] Univ Extremadura, Dept Financial Econ, Av Elvas S-N, E-06071 Badajoz, Spain

来源：

EMERGING MARKETS FINANCE AND TRADE | 2019年 / 55卷 / 01期

关键词：

Brazil; data snooping bias; moving average rules; profitability; size effect; G10; G11; G14; TECHNICAL TRADING RULES; CAPITAL-MARKETS; PREDICTIVE ABILITY; PERFORMANCE; BOOTSTRAP; RETURNS; TESTS;

D O I：

10.1080/1540496X.2017.1422428

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study analyzes the effectiveness of using certain moving average rules in the most important emerging market of Latin America: Brazil. Using different MSCI indices, we find that the best performance is provided by the MSCI Brazil Small Cap Index, which tracks the small cap segment of the Brazilian stock market, as opposed to the MSCI Brazil Index which measures the performance of large and medium firms and has been the main reference for the Brazilian stock market in previous empirical evidence. Additionally, we report clear evidence of the existence of a size effect in the Brazilian stock market due to the superior performance of the index which tracks the smaller companies over those which track larger companies. These results restate the importance of in-depth knowledge of stock market patterns in order to develop correct trading strategies in each case.

引用

页码：150 / 167

页数：18

共 37 条

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