Buy and sell signals on Bucharest Stock Exchange

Stefanescu, Răzvan and Dumitriu, Ramona (2015): Buy and sell signals on Bucharest Stock Exchange. Published in: VANGUARD SCIENTIFIC INSTRUMENTS IN MANAGEMENT , Vol. 2, No. 11 (2015)

Abstract

Trading rules of the technical analysis are widely used in investing on the capital markets. However, prediction of the financial markets movements based on their past evolutions is in contradiction with the principles of the Efficient Market Hypothesis. In case of the emerging markets, the impact of the development markets evolutions could also be taken into consideration in establishing the trading rules. In this paper we investigate the efficiency of three simple trading rules on Romanian capital market. Two of them, Variable-Length Moving Average and Bollinger Bands, belong to the technical analysis methods, while the third is based on the impact of the shocks from New York Stock Exchange. The results indicate some significant differences between these methods of shocks’ identification.

• Item Type: MPRA Paper
• Language: English
• Keywords: Capital markets; Technical Analysis; Emerging Market Integration
• Subjects: F - International Economics > F3 - International Finance > F30 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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