Buy and Sell Signals on Bucharest Stock Exchange
14 Pages Posted: 31 Aug 2015
Date Written: August 29, 2015
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
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