Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks



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Chang, Chia-Lin and Ilomäki, Jukka and Laurila, Hannu and McAleer, Michael (2018) Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks. [ Documentos de Trabajo del ICAE; nº 24, 2018, ISSN: 2341-2356 ] (Unpublished)

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The paper examines whether the moving average (MA) technique can beat random market timing in traditional and newer branches of an industrial sector. The sector considered is the energy sector, divided into balanced stock portfolios of fossil and renewable energy companies. Eight representative firms are selected for both portfolios. The paper finds that MA timing outperforms random timing with the portfolio of renewable energy companies, whereas the result is less clear with the portfolio of fossil energy companies. Thus, there seems to be more forecastable stochastic trends in sunrise branches than in sunset branches.

Item Type:Working Paper or Technical Report
Additional Information:

For financial support, the first author wishes to acknowledge the Ministry of Science and Technology (MOST), Taiwan, and the fourth author is grateful to the Australian Research Council and Ministry of Science and Technology (MOST), Taiwan.

Uncontrolled Keywords:Moving averages; Market timing; Industrial sector; Energy sector; Fossil fuels; Renewable energy; Random timing; Sunrise branches; Sunset branches.
Subjects:Social sciences > Economics > Econometrics
JEL:C22, C32, L71, L72, Q16, Q42, Q47
Series Name:Documentos de Trabajo del ICAE
ID Code:49153
Deposited On:17 Sep 2018 12:26
Last Modified:17 Sep 2018 12:26

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