PROFITABILITY OF IRANIAN STOCK MARKET BASED ON TECHNICAL ANALYSIS TRADING RULES

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RAISSI SADIGH; ZAKIZADEH MOHAMMAD REZA

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Journal Paper

Paper Information

Journal: JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING) Year:2011 | Volume:5 | Issue:3 (9) Page(s): 21-26

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Information Journal Paper

Title

PROFITABILITY OF IRANIAN STOCK MARKET BASED ON TECHNICAL ANALYSIS TRADING RULES

Author(s)

RAISSI SADIGH | ZAKIZADEH MOHAMMAD REZA | Issue Writer Certificate

Keywords

TECHNICAL TRADING RULES

STOCK EXCHANGE

TECHNICAL ANALYSIS (TA)

PORTFOLIO ANALYSIS

SIMPLE MOVING AVERAGE (SMA)

EXPONENTIAL MOVING AVERAGE (EMA)

Abstract

In this study, we focused on Tehran STOCK EXCHANGE market analysis based on applying moving average rules. The Tehran STOCK EXCHANGE in the Middle East has evolved into an exciting and growing marketplace where individual and institutional investor trade securities of over 420 companies. In an attempt to examine the ability to earn excess return by exploiting moving average rules, the average annual return on exponential moving average and simple moving average strategies were compared with annual return generated by naive buy and hold strategy. The finding based on the paired t-confidence interval hypothetical test procedures indicates that the moving average rule has more capability in predicting Tehran market and employment of the proposed technique generates excess returns for investors. Based on the findings, it is concluded that the Tehran capital market has great opportunities to apply such technique for yield enhancement and portfolio diversification.

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APA: Copy

RAISSI, SADIGH, & ZAKIZADEH, MOHAMMAD REZA. (2011). PROFITABILITY OF IRANIAN STOCK MARKET BASED ON TECHNICAL ANALYSIS TRADING RULES. JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING), 5(3 (9)), 21-26. SID. https://sid.ir/paper/623863/en

Vancouver: Copy

RAISSI SADIGH, ZAKIZADEH MOHAMMAD REZA. PROFITABILITY OF IRANIAN STOCK MARKET BASED ON TECHNICAL ANALYSIS TRADING RULES. JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING)[Internet]. 2011;5(3 (9)):21-26. Available from: https://sid.ir/paper/623863/en

IEEE: Copy

SADIGH RAISSI, and MOHAMMAD REZA ZAKIZADEH, “PROFITABILITY OF IRANIAN STOCK MARKET BASED ON TECHNICAL ANALYSIS TRADING RULES,” JOURNAL OF OPTIMIZATION IN INDUSTRIAL ENGINEERING (JOURNAL OF INDUSTRIAL ENGINEERING), vol. 5, no. 3 (9), pp. 21–26, 2011, [Online]. Available: https://sid.ir/paper/623863/en

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