Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks
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.
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|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Chang, C-L, Ilomäki, J, Laurila, H, & McAleer, M.J. (2018). Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks (No. EI2018-44). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/111616