The anatomy of returns from moving average trading rules in the Russian stock market

References

• Andrada-Félix, J., and F. Fernández-Rodríguez. 2008. “Improving Moving Average Trading Rules with Boosting and Statistical Learning Methods.” Journal of Forecasting 27: 433–449. doi:10.1002/for.1068.
   Web of Science ®Google Scholar
• Aye, G. C., M. Balcilar, R. Gupta, N. Kilimani, A. Nakumuryango, and S. Redford. 2014. “Predicting BRICS Stock Returns Using ARFIMA Models.” Applied Financial Economics 24: 1159–1166. doi:10.1080/09603107.2014.924297.
   Google Scholar
• Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” The Journal of Finance 47: 1731–1764. doi:10.1111/j.1540-6261.1992.tb04681.x.
   Web of Science ®Google Scholar
• Chang, E. J., E. J. A. Lima, and B. Tabak. 2004. “Testing for Predictability in Emerging Equity Markets.” Emerging Markets Review 5: 295–316. doi:10.1016/j.ememar.2004.03.005.
   Google Scholar
• Chong, T. T.-L., -S. H.-S. Cheng, and E. N.-Y. Wong. 2010. “A Comparison of Stock Market Efficiency of the BRIC Countries.” Technology and Investment 1: 235–238. doi:10.4236/ti.2010.14029.
   Google Scholar
• Dbouk, W., I. Jamali, and K. Soufani. 2014. “The Effectiveness of Technical Trading for Arab Stocks.” Emerging Markets Finance and Trade 50: 5–25. doi:10.2753/REE1540-496X500401.
   Web of Science ®Google Scholar
• Domowitz, I., J. Glen, and A. Madhavan. 2001. “Liquidity, Volatility and Equity Trading Costs across Countries and over Time.” International Finance 4: 221–255. doi:10.1111/1468-2362.00072.
   Google Scholar
• Edwards, S., J. G. Biscarri, and F. Pérez De Gracia. 2003. “Stock Market Cycles, Financial Liberalization and Volatility.” Journal of International Money and Finance 22: 925–955. doi:10.1016/j.jimonfin.2003.09.011.
   Web of Science ®Google Scholar
• Fifield, S. G. M., D. M. Power, and D. G. S. Knipe. 2008. “The Performance of Moving Average Rules in Emerging Stock Markets.” Applied Financial Economics 18: 1515–1532. doi:10.1080/09603100701720302.
   Google Scholar
• Fong, W. M., and Y. W. Ho. 2001. “Simple Trading Rules and the Market for Internet Stocks.” International Review of Finance 2: 247–268. doi:10.1111/1468-2443.00029.
   Google Scholar
• Fong, W. M., and L. H. M. Yong. 2005. “Chasing Trends: Recursive Moving Average Trading Rules and Internet Stocks.” Journal of Empirical Finance 12: 43–76. doi:10.1016/j.jempfin.2003.07.002.
   Google Scholar
• Gardner Jr., E. S. 2006. “Exponential Smoothing: The State of the Art – Part II.” International Journal of Forecasting 22: 637–666. doi:10.1016/j.ijforecast.2006.03.005.
   Web of Science ®Google Scholar
• How, J., M. Ling, and P. Verhoeven. 2010. “Does Size Matter? A Genetic Programming Approach to Technical Trading.” Quantitative Finance 10: 131–140. doi:10.1080/14697680902773629.
   Web of Science ®Google Scholar
• Israelsen, C. L. 2005. “A Refinement to the Sharpe Ratio and Information Ratio.” Journal of Asset Management 5: 423–427. doi:10.1057/palgrave.jam.2240158.
   Google Scholar
• Krausz, J., S.-Y. Lee, and K. Nam. 2009. “Profitability of Nonlinear Dynamics under Technical Trading Rules: Evidence from Pacific Basin Stock Markets.” Emerging Markets Finance and Trade 45: 13–35. doi:10.2753/REE1540-496X450402.
   Web of Science ®Google Scholar
• Kudrov, A., A. Zlotnik, E. Dukhovnaya, and D. Fantazzini. 2012. “Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies.” In Handbook of Short Selling, edited by G. N. Gregoriou, 387–400. Boston, MA: Academic Press.
   Google Scholar
• Ledoit, O., and M. Wolf. 2008. “Robust Performance Hypothesis Testing with the Sharpe Ratio.” Journal of Empirical Finance 15: 850–859. doi:10.1016/j.jempfin.2008.03.002.
   Web of Science ®Google Scholar
• Luukka, P., E. Pätäri, E. Fedorova, and T. Garanina forthcoming. “Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence”. Emerging Markets Finance and Trade. ( published online October 27th, 2015). doi: 10.1080/1540496X.2015.1087785.
   Web of Science ®Google Scholar
• McKenzie, M. D. 2007. “Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises.” Emerging Markets Finance and Trade 43: 46–73. doi:10.2753/REE1540-496X430403.
   Web of Science ®Google Scholar
• Metghalchi, M., J. Marcucci, and Y.-H. Chang. 2012. “Are Moving Average Trading Rules Profitable? Evidence from the European Stock Markets.” Applied Economics 44: 1539–1559. doi:10.1080/00036846.2010.543084.
   Web of Science ®Google Scholar
• Moosa, I., and L. Li. 2011. “Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data.” Emerging Markets Finance and Trade 47: 23–31. doi:10.2753/REE1540-496X4701S103.
   Web of Science ®Google Scholar
• Ni, Y.-S., J.-T. Lee, and Y.-C. Liao. 2013. “Do Variable Length Moving Average Trading Rules Matter during a Financial Crisis Period?” Applied Economics Letters 20: 135–141. doi:10.1080/13504851.2012.684784.
   Web of Science ®Google Scholar
• Pätäri, E. J. 2011. “Does the Risk-Adjustment Method Matter at All in Hedge Fund Rankings?” International Research Journal of Finance and Economics 6: 69–99.
   Google Scholar
• Pätäri, E. J., and M. Vilska. 2014. “Performance of Moving Average Trading Strategies over Varying Stock Market Conditions: The Finnish Evidence.” Applied Economics 46: 2851–2872. doi:10.1080/00036846.2014.914145.
   Web of Science ®Google Scholar
• Ratner, M., and R. Leal. 1999. “Tests of Technical Trading Strategies in the Emerging Equity Markets of Latin America and Asia.” Journal of Banking & Finance 23: 1887–1905. doi:10.1016/S0378-4266(99)00042-4.
   Web of Science ®Google Scholar
• Sharpe, W. F. 1966. “Mutual Fund Performance.” The Journal of Business 39: 119–138. doi:10.1086/294846.
   Web of Science ®Google Scholar
• Yen, S. M.-F., and Y.-L. Hsu. 2010. “Profitability of Technical Analysis in Financial and Commodity Futures Markets – a Reality Check.” Decision Support Systems 50: 128–139. doi:10.1016/j.dss.2010.07.008.
   Web of Science ®Google Scholar