Buy and Sell Signals on Bucharest Stock Exchange

14 Pages Posted: 31 Aug 2015

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Date Written: August 29, 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.

Keywords: Capital markets, Technical Analysis, Emerging Market Integration

JEL Classification: F30, G14, G15

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona, Buy and Sell Signals on Bucharest Stock Exchange (August 29, 2015). Available at SSRN: https://ssrn.com/abstract=2653126 or http://dx.doi.org/10.2139/ssrn.2653126

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

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