Sulistiawan, Dedhy and Rudiawarni, Felizia Arni and Feliana, Yie Ke (2020) Examining trading strategies using trend following indicators for Indonesian stock market. International Journal of Trade and Global Markets, 13 (1). pp. 52-60. ISSN 1742-755X (online) 1742-7541 (print)
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Abstract
This study aims to examine the reliability of the technical analysis (TA) approach in Indonesian stock exchanges, specifically moving-average trading rule to determine buy/sell signals. Using ten-year data from 2008–2017, our study examines various exponential moving average (EMA) lengths ranging from shorter duration to longer duration. After considering transaction fee, the findings indicate that EMA are profitable indicators in Indonesian stock markets. Furthermore, this study also finds that higher (lower) return are produced by longer (shorter) EMA lengths. These results contribute to international investors for country-picking strategy including trading strategy in emerging markets.
| Item Type: | Article |
|---|---|
| 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: | Felizia Arni Rudiawarni 31129 |
| Date Deposited: | 17 Feb 2020 06:36 |
| Last Modified: | 24 Mar 2021 16:21 |
| URI: | http://repository.ubaya.ac.id/id/eprint/37370 |
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