Market timing with moving averages for fossil fuel and renewable energy stocks
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 techni...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2020-11-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484720300755 |
| _version_ | 1818381398779625472 |
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| author | Chia-Lin Chang Jukka Ilomäki Hannu Laurila Michael McAleer |
| author_facet | Chia-Lin Chang Jukka Ilomäki Hannu Laurila Michael McAleer |
| author_sort | Chia-Lin Chang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-14T02:33:57Z |
| format | Article |
| id | doaj.art-6ae0b2cb996a4d94aef8ac357c495b51 |
| institution | Directory Open Access Journal |
| issn | 2352-4847 |
| language | English |
| last_indexed | 2024-12-14T02:33:57Z |
| publishDate | 2020-11-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Reports |
| spelling | doaj.art-6ae0b2cb996a4d94aef8ac357c495b512022-12-21T23:20:10ZengElsevierEnergy Reports2352-48472020-11-01617981810Market timing with moving averages for fossil fuel and renewable energy stocksChia-Lin Chang0Jukka Ilomäki1Hannu Laurila2Michael McAleer3Department of Applied Economics, National Chung Hsing University, Taiwan; Department of Finance, National Chung Hsing University, Taiwan; Department of Finance, Asia University, TaiwanFaculty of Management and Business, Tampere University, FinlandFaculty of Management and Business, Tampere University, FinlandDepartment of Finance, Asia University, Taiwan; Discipline of Business Analytics, University of Sydney Business School, Australia; Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Department of Economic Analysis and ICAE, Complutense University of Madrid, Spain; Institute of Advanced Sciences, Yokohama National University, Japan; Corresponding author.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.http://www.sciencedirect.com/science/article/pii/S2352484720300755Moving averagesMarket timingEnergy sectorFossil fuelsRenewable energyRandom timing |
| spellingShingle | Chia-Lin Chang Jukka Ilomäki Hannu Laurila Michael McAleer Market timing with moving averages for fossil fuel and renewable energy stocks Energy Reports Moving averages Market timing Energy sector Fossil fuels Renewable energy Random timing |
| title | Market timing with moving averages for fossil fuel and renewable energy stocks |
| title_full | Market timing with moving averages for fossil fuel and renewable energy stocks |
| title_fullStr | Market timing with moving averages for fossil fuel and renewable energy stocks |
| title_full_unstemmed | Market timing with moving averages for fossil fuel and renewable energy stocks |
| title_short | Market timing with moving averages for fossil fuel and renewable energy stocks |
| title_sort | market timing with moving averages for fossil fuel and renewable energy stocks |
| topic | Moving averages Market timing Energy sector Fossil fuels Renewable energy Random timing |
| url | http://www.sciencedirect.com/science/article/pii/S2352484720300755 |
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