ANALYZING TRADING STRATEGIES USING TREND FOLLOWING INDICATORS FOR INDONESIAN STOCK MARKET

Sulistiawan, Dedhy (2018) ANALYZING TRADING STRATEGIES USING TREND FOLLOWING INDICATORS FOR INDONESIAN STOCK MARKET. In: SIBR 2018 Hong Kong Conference on Interdisciplinary Business & Economics Research, 2018-09-29 , The Harbourview Hong Kong . (Submitted)

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Abstract

This study aims to examine the reliability of the technical analysis (TA) approach in Indonesian stock exchanges. Of the many types of TA strategy, this article uses trend following indicators to capture either short-term or long-term trend. Specifically, we use moving-average trading rule to determine buy/sell signals because this strategy receives the most attention from the academicians and practitioners. Using ten-years data from 2008-2017, our study examines various exponential moving average (EMA) lenghts ranging from short duration to long duration. After considering transaction fee, the findings indicate that EMA indicators are profitable in Indonesian stock markets. Furthermore, our examination also present evidence that higher (lower) return are produced by longer (shorter) EMA lenghts. These results contribute to professional investor communities and trading strategy studies in emerging markets.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: technical analysis; exponential moving average; trend following indicator; trading strategy
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Business and Economic > Department of Accounting
Depositing User: Dedhy Sulistyawan 31116
Date Deposited: 25 Sep 2018 08:52
Last Modified: 25 Sep 2018 08:52
URI: http://repository.ubaya.ac.id/id/eprint/32698

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