Advanced

Teknisk Analys – Under vilka omständigheter fungerar det glidande medelvärdet bäst?

Heidenberg, Mikael (2008)
Department of Economics
Abstract
Purpose
The paper intends to analyze how the moving average performs in two different types of markets and thereby contribute to the knowledge of its practical use. Methodology
Thirty companies from the OMX Nordic list are studied with the use of a moving average. The study will take place in two different periods, one characterized with market-fall (2000-2003) and one with market-rise (2003-2007). Results
It can be proved that the double moving average has performed significantly (0.05% level) worse than the “buy and hold” strategy during the studied period characterized with market-rise. However, it performed significantly (2.5% level) better in the other period. Conclusions
Any definite conclusions from a study of this size seem a bit... (More)
Purpose
The paper intends to analyze how the moving average performs in two different types of markets and thereby contribute to the knowledge of its practical use. Methodology
Thirty companies from the OMX Nordic list are studied with the use of a moving average. The study will take place in two different periods, one characterized with market-fall (2000-2003) and one with market-rise (2003-2007). Results
It can be proved that the double moving average has performed significantly (0.05% level) worse than the “buy and hold” strategy during the studied period characterized with market-rise. However, it performed significantly (2.5% level) better in the other period. Conclusions
Any definite conclusions from a study of this size seem a bit unreasonable; however, the results call for further studies in the area. (Less)
Please use this url to cite or link to this publication:
@misc{1644225,
  abstract     = {Purpose
The paper intends to analyze how the moving average performs in two different types of markets and thereby contribute to the knowledge of its practical use. Methodology
Thirty companies from the OMX Nordic list are studied with the use of a moving average. The study will take place in two different periods, one characterized with market-fall (2000-2003) and one with market-rise (2003-2007). Results
It can be proved that the double moving average has performed significantly (0.05% level) worse than the “buy and hold” strategy during the studied period characterized with market-rise. However, it performed significantly (2.5% level) better in the other period. Conclusions
Any definite conclusions from a study of this size seem a bit unreasonable; however, the results call for further studies in the area.},
  author       = {Heidenberg, Mikael},
  keyword      = {behavioral finance,teknisk analys,glidande medelvärde,investeringsstrategi,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Teknisk Analys – Under vilka omständigheter fungerar det glidande medelvärdet bäst?},
  year         = {2008},
}