文章基本信息

标题：Moving Average Trading Rules: Are They Trending Following Devices? Evidence from the Vietnamese Stock Market
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作者：NGUYEN HOANG HUNG ; YANG ZHAOJUN ; LE DUC THANG 等
期刊名称：International Review of Management and Business Research
印刷版ISSN：2307-5953
电子版ISSN：2306-9007
出版年度：2014
卷号：3
期号：4Part 3
页码：2070-2079
出版社：Academy of IRMBR
摘要：A moving average is essentially, by its nature, a trend-following device; therefore, it works well only in a market where a trend is clear. We consider two issues in this paper. One is whether moving average trading rules can be applied to Vietnamese stock market data to forecast stock price movements and to outperform a simple buy-and-hold strategy. The other is whether the predictability of variable moving average (VMA) trading rules is stronger in a trending market than in a non-trending one. We show that in the frontier market like Vietnamese market, technical trading rules are not only substantially profitable, but, unlike some prior studies on the emerging markets, they are also effective to generate excess returns for investors – even after taking transaction costs into account. Notably, we found arguments that explain why VMA rules perform better in a trending market than they do in a non-trending one.
关键词：Variable Moving Averages; Technical Trading Rules; Excess Returns; Transaction Costs; Trading Range Breakout.