Moving average technical analysis: fact, fiction or somewhere in between?
Date
2021
Authors
Orlovsky, Daniel Marcus
Editors
Advisors
Glabadanidis, Paskalis
Chen, Jiun-Lin (Alex)
Chen, Jiun-Lin (Alex)
Journal Title
Journal ISSN
Volume Title
Type:
Thesis
Citation
Statement of Responsibility
Conference Name
Abstract
The Moving Average (MA), is it fact, fiction or somewhere in between? Previous research has begun to show its value in decision making. The following dissertation provides further evidence in support, with results showing its performance is negatively correlated to asset size, inconsistent for book-to-market, with declining performance in recent decades. MA performance cannot be maintained for assets with extreme volatility such as cryptocurrencies. Delay of any decision making following a buy/sell signal negatively alters the result. The risk reducing benefits to the MA are universal. Overall, it provides little downside risk but provides huge upside potential.
School/Discipline
Adelaide Business School : Finance and Banking
Dissertation Note
Thesis (Ph.D.) -- University of Adelaide, Adelaide Business School, 2021
Provenance
This electronic version is made publicly available by the University of Adelaide in accordance with its open access policy for student theses. Copyright in this thesis remains with the author. This thesis may incorporate third party material which has been used by the author pursuant to Fair Dealing exceptions. If you are the owner of any included third party copyright material you wish to be removed from this electronic version, please complete the take down form located at: http://www.adelaide.edu.au/legals