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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/111730


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/111730


    Title: Market timing with moving averages
    Authors: Ilomak, Jukka;Ilomaki, Jukka;Lauril, Hannu;Laurila, Hannu;*;馬可立;McAleer, Michael
    Contributors: 財務金融學系
    Date: 2018-06
    Issue Date: 2018-12-25 11:00:59 (UTC+8)
    Abstract: Consider using the simple moving average (MA) rule of Gartley to determine when to
    buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the
    performance be affected if the frequency is changed to the use of MA calculations? The empirical
    results show that, on average, the lower is the frequency, the higher are average daily returns, even
    though the volatility is virtually unchanged when the frequency is lower. The volatility from the
    highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy
    volatility, but the average returns approach the buy-and-hold returns when frequency is lower.
    The 30% reduction in volatility appears if we invest randomly half the time in stock markets and half
    in the risk-free rate.
    Relation: Sustainability
    Appears in Collections:[財務金融學系] 期刊論文

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