2020-11-01
Market timing with moving averages for fossil fuel and renewable energy stocks
Publication
Publication
Energy Reports , Volume 6 p. 1798- 1810
The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers. According to the Capital Asset Pricing Model, random timing is a superior trading strategy in the long run. However, the MA technique may be more successful, if there are predictable stochastic trends in the price series. In the paper, eight representative firms are selected for both fossil and renewable portfolios with actually tradable stocks in order to create two Exchange-Traded Funds (ETF). The paper finds that MA timing outperforms random timing for the ETF of renewable energy companies, but not for the ETF of fossil energy companies.
| Additional Metadata | |
|---|---|
| , , , , , | |
| , , , , , | |
| doi.org/10.1016/j.egyr.2020.06.029, hdl.handle.net/1765/128797 | |
| Energy Reports | |
| Organisation | Department of Econometrics |
|
Chang, C.-L., Ilomäki, J., Laurila, H., & McAleer, M. (2020). Market timing with moving averages for fossil fuel and renewable energy stocks. Energy Reports, 6, 1798–1810. doi:10.1016/j.egyr.2020.06.029 |
|
