Moving average strategies : their effectiveness and implications for SES stocks

• Main Authors: Au, Mee Ling, Liew, Foon Fong, Ng, Li Yuen
• Other Authors: Nanyang Business School
• Format: Final Year Project
• Language: English
• Published: 2014
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/55753
• Institution: Nanyang Technological University

There are two distinct approaches to stock investment. They are the fundamental analysis approach and the technical analysis approach. These two approaches are at times used to compliment one another when making investment decisions. This research project focuses on the study of technical analysis. An empirical test was done to investigate the effectiveness of the moving average strategies using the SES All Share Index, for the period 1989 to 1993 . The strategies selected for testing are the simple moving average, exponential moving average, crossover of short term and long term moving average, the moving average convergence divergence and the moving average oscillator. The return generated by these moving average strategies was compared with a buy and hold strategy. A t-test was used to test the significance of the results obtained. The results of the analysis showed that the short term moving averages were generally able to outperform the buy and hold strategy. However, the t-test revealed that none of the results obtained were significant at the 95% confidence level.