Graduation Year
Spring 2012
Document Type
Open Access Senior Thesis
Degree Name
Bachelor of Arts
Department
Economics
Reader 1
Darren Filson
Terms of Use & License Information
Rights Information
© 2012 Austin P. Hallett
Abstract
This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals are profitable. Furthermore, variations of 4 of 5 variable moving average strategies demonstrate significant prospects of returning consistent abnormal returns after adjusting for transaction costs and risk.
Recommended Citation
Hallett, Austin P., "Finding Profitability of Technical Trading Rules in Emerging Market Exchange Traded Funds" (2012). CMC Senior Theses. 375.
https://scholarship.claremont.edu/cmc_theses/375
Included in
Behavioral Economics Commons, Corporate Finance Commons, Finance Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons
