Examining trading strategies using trend following indicators for Indonesian stock market

Sulistiawan, Dedhy and Rudiawarni, Felizia Arni and Feliana, Yie Ke (2020) Examining trading strategies using trend following indicators for Indonesian stock market. International Journal Trade and Global Markets, 13 (1). pp. 52-60. ISSN 1742-755X

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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. Reference to this paper
Subjects:	H Social Sciences > HF Commerce > HF5601 Accounting
Divisions:	Faculty of Business and Economic > Department of Accounting
Depositing User:	Yie Ke Feliana 3193
Date Deposited:	05 Aug 2021 11:36
Last Modified:	05 Aug 2021 11:36
URI:	http://repository.ubaya.ac.id/id/eprint/39954

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