Measuring Predictability of Oil and Gas Stock Returns and Performance of Moving Average Trading Rules

Muhammad Surajo Sanusi, Farooq Ahmad

    Research output: Contribution to journalArticlepeer-review

    Abstract

    The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average strategies. In this paper, short and long lengths moving averages are employed and their performances are measured against the returns from simple buy and hold investment strategy. As a result, the paper finds that employed trading rules do not indicate that investors can make abnormal returns in oil and gas stocks. Moreover, the performances of short and long moving averages in predicting abnormal returns also do not suggest a conclusive evidence that any of the moving averages can result in more returns compared to others.
    Original languageEnglish
    Pages (from-to)47-70
    Number of pages24
    JournalJournal of Economics and Financial Analysis
    Volume3
    Issue number1
    Publication statusPublished (VoR) - 22 Mar 2019

    Keywords

    • Trading and Filter Rules; Moving Average Trading Rule; Buy and Hold Investment Strategy; Oil and Gas Stock Returns

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