The performance of technical trading rules in Socially Responsible Investments

Abstract

This study is the first to examine the performance of technical trading in tradeable Socially Responsible Investment (SRI) indices. We employ a number of popular trend-following and meanreverting technical trading rules and find that trend-following technical trading rules offer very little predictive power or significant returns to investors. However the mean-reverting technical trading rules do offer significant returns, even after controlling for data-snooping, risk, transaction costs and out-of-sample testing. Therefore our results add to the literature by showing that meanreverting technical trading rules offer substantial predictive power in SRI indices, but traditional trend-following rules offer very little predictive power.

Performance of Conventional, Islamic, and Social Responsible Investment (Sri) Indices During Covid-19: A Study of Indonesian Stock Market

“…The second lagged return gives a negative relationship to the current changes. This is consistent with the study by Urquhart & Zhang (2019). However, when the coefficient of ARCH and GARCH is summed up, the total is more than 1.…”

“…Furthermore, few studies that compare Islamic stocks to SRIs find that Islamic stocks are less prone to systematic risks and thus more rewarding than the SRIs (Azmi et al, 2019;Erragragui et al, 2018;Erragragui & Revelli, 2016;Erragraguy & Revelli, 2015). On the contrary, other studies (Abdelsalam, Duygun, et al 2014;Abdelsalam, Fethi, Matallín, & Tortosa-Alsina, 2014;Nofsinger & Varma, 2014;Qoyum, Al Hashfi, et al, 2021;Urquhart & Zhang, 2019) provide empirical supports for the outperformance of SRI assets. In short, there is still a mixed conclusion about the performance of Islamic and SRI across regions.…”

Green and socially responsible finance: past, present and future

“…Over the past two decades, several papers examined the conduct of ethical funds versus standard funds, however, the results remain inconclusive and meta-regression analysis suggests that the performance of SRI is not much different from standard funds (Urquhart and Zhang, 2019). Further, investing in the emerging market gave good results in terms of risk and return in bullish market periods and it is noticed that high ESG rated portfolios reduce overall risks and outperform as compared to low ESG rated portfolios in Australia.…”

Mastery of “Monthly Effects”: Big Data Insights into Contrarian Strategies for DJI 30 and NDX 100 Stocks over a Two-Decade Period

“…Conversely, selling shares is recommended when the K value is 80 or higher (K ≥ 80) (i.e., suggesting an overbought signal). Relevant research shows that market participants following the oversold signals may generate better performance [38]. As such, individual and institutional investors often use the oversold trading signals to exploit profits from stock markets [39].…”