• Find People
  • Campus Map
  • PiratePort
  • A-Z
    • About
    • Submit
    • Browse
    • Login
    View Item 
    •   ScholarShip Home
    • Academic Affairs
    • Honors College
    • View Item
    •   ScholarShip Home
    • Academic Affairs
    • Honors College
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of The ScholarShipCommunities & CollectionsDateAuthorsTitlesSubjectsTypeDate SubmittedThis CollectionDateAuthorsTitlesSubjectsTypeDate Submitted

    My Account

    Login

    Statistics

    View Google Analytics Statistics

    THE MOVING AVERAGE: An Analysis of the Profitability of the 50-Day and 200-Day Moving Average Trading Rule in Different Market Conditions

    Thumbnail
    View/ Open
    BUNTEN-HONORSTHESIS-2021.pdf (1.166Mb)

    Show full item record
    Author
    Bunten, Tim
    Abstract
    In this paper, I am analyzing the profitability of the 50- and 200-day moving average technical trading rule in different market conditions. I use SAS Statistical Analyses Software to analyze all non-financial stocks in the U.S. stock exchanges over the time period 2005-2010. I conduct the parametric t-test, Wilcoxon non-parametric test and multiple regressions to evaluate the statistical significance of the difference in profitability of the moving average trading rule between three different time periods: pre-crisis, crisis, and post-crisis. I find that profitability when using the moving average technical trading rule was significantly higher in the pre-crisis period than in the crisis and post-crisis period. The profitability was especially lowest during the crisis period. This implies that the moving average technical indicator should be avoided in bear markets. The results hold in multiple regressions in control for Fama-French 4 factors and industry fixed effects. Furthermore, long positions based upon the moving average technical indicator generated the highest returns in the before-crisis period while short positions did in the crisis period. The differences in the profitability between the three periods also vary significantly between firm market capitalization deciles. My study builds on past studies in the field and expands the current literature on how profitability accrued to technical trading rules can vary across different market conditions.
    URI
    http://hdl.handle.net/10342/9170
    Subject
     Technical indicators; moving average; trading rules; profitability; finance 
    Date
    2021-04-23
    Citation:
    APA:
    Bunten, Tim. (April 2021). THE MOVING AVERAGE: An Analysis of the Profitability of the 50-Day and 200-Day Moving Average Trading Rule in Different Market Conditions (Honors Thesis, East Carolina University). Retrieved from the Scholarship. (http://hdl.handle.net/10342/9170.)

    Display/Hide MLA, Chicago and APA citation formats.

    MLA:
    Bunten, Tim. THE MOVING AVERAGE: An Analysis of the Profitability of the 50-Day and 200-Day Moving Average Trading Rule in Different Market Conditions. Honors Thesis. East Carolina University, April 2021. The Scholarship. http://hdl.handle.net/10342/9170. August 19, 2022.
    Chicago:
    Bunten, Tim, “THE MOVING AVERAGE: An Analysis of the Profitability of the 50-Day and 200-Day Moving Average Trading Rule in Different Market Conditions” (Honors Thesis., East Carolina University, April 2021).
    AMA:
    Bunten, Tim. THE MOVING AVERAGE: An Analysis of the Profitability of the 50-Day and 200-Day Moving Average Trading Rule in Different Market Conditions [Honors Thesis]. Greenville, NC: East Carolina University; April 2021.
    Collections
    • Honors College
    Publisher
    East Carolina University

    xmlui.ArtifactBrowser.ItemViewer.elsevier_entitlement

    East Carolina University has created ScholarShip, a digital archive for the scholarly output of the ECU community.

    • About
    • Contact Us
    • Send Feedback