Do variable length moving average trading rules matter during a financial crisis period?

When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRI...

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Bibliographic Details
Published in:Applied economics letters 2013-02, Vol.20 (2), p.135-141
Main Authors: Ni, Yen-Sen, Lee, Jen-Tsai, Liao, Yi-Ching
Format: Article
Language:English
Subjects:
Brazil
BRICs
China
Economic analysis
Economic crisis
Financial crisis
India
International finance
Investors
Profit
Russian Federation
Securities markets
Securities trading
Stock exchange
stock markets
Studies
variable length MA
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Summary:When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, suggesting that more detailed information should be investigated, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2012.684784