TY - JOUR
T1 - An analysis of technical trading rules
T2 - The case of MENA markets
AU - Bley, Jorg
AU - Saad, Mohsen
N1 - Publisher Copyright:
© 2019
PY - 2020/3
Y1 - 2020/3
N2 - 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.
AB - 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.
KW - MENA stock markets
KW - Market efficiency
KW - Technical trading indicators
UR - http://www.scopus.com/inward/record.url?scp=85065853105&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2019.04.038
DO - 10.1016/j.frl.2019.04.038
M3 - Article
AN - SCOPUS:85065853105
SN - 1544-6123
VL - 33
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101182
ER -