An analysis of technical trading rules: The case of MENA markets

Jorg Bley; Mohsen Saad

doi:10.1016/j.frl.2019.04.038

An analysis of technical trading rules: The case of MENA markets

Jorg Bley, Mohsen Saad^*

^*Corresponding author for this work

American University of Sharjah

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

We evaluate the performance of sixteen technical trading indicators across stock portfolios from thirteen MENA country markets, using a back testing approach. The individual indicators are classified as either Trend, Momentum, Volatility, or Cycle indicators. Differences in performance of individual trading indicators are identified. Outcomes are most sensitive to trading frequency and time out of market. The results suggest that MENA stock markets differ in level of efficiency.

Original language	English
Article number	101182
Journal	Finance Research Letters
Volume	33
DOIs	https://doi.org/10.1016/j.frl.2019.04.038
Publication status	Published - Mar 2020
Externally published	Yes

Keywords

MENA stock markets
Market efficiency
Technical trading indicators

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10.1016/j.frl.2019.04.038

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Bley, J., & Saad, M. (2020). An analysis of technical trading rules: The case of MENA markets. Finance Research Letters, 33, Article 101182. https://doi.org/10.1016/j.frl.2019.04.038

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An analysis of technical trading rules: The case of MENA markets

Abstract

Keywords

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