2021
DOI: 10.1108/imefm-01-2020-0043
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Trading rules and excess returns: evidence from Turkey

Abstract: Purpose This paper aims to investigate popular technical trading rules (TTRs) applied to the FTSE Turkish all-cap and small-cap indexes from September 23, 2003 to August 9, 2019 to determine rules that produce net excess returns over the Buy-and-Hold strategy (B&H). Design/methodology/approach Five TTRs, namely, simple moving average, relative strength index, moving average convergence divergence, momentum, and rate of change, are applied, singly (one indicator) and in combination (two indicators) for mu… Show more

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Cited by 6 publications
(1 citation statement)
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“…Thus, our results generally support Ha12 that market quality decreases after a price-limit hit (greater informational asymmetry effect on the market-quality hypothesis). While Metghalchi et al (2021) find that popular technical trading rules such as the Golden Cross are profitable when applied to the FTSE Turkish small-cap index, investors need to consider any reduction in market quality associated with price-limit hits when implementing such trading rules.…”
Section: Test Of Market Quality Hypothesismentioning
confidence: 99%
“…Thus, our results generally support Ha12 that market quality decreases after a price-limit hit (greater informational asymmetry effect on the market-quality hypothesis). While Metghalchi et al (2021) find that popular technical trading rules such as the Golden Cross are profitable when applied to the FTSE Turkish small-cap index, investors need to consider any reduction in market quality associated with price-limit hits when implementing such trading rules.…”
Section: Test Of Market Quality Hypothesismentioning
confidence: 99%