Market timing with moving averages for fossil fuel and renewable energy stocks

Chia Lin Chang, Jukka Ilomäki, Hannu Laurila, Michael McAleer*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

5 Citations (Scopus)
4 Downloads (Pure)

Abstract

The paper examines whether the Moving Average (MA) technique can outperform random market timing in the energy sector, compiled of fossil and renewable energy producers. According to the Capital Asset Pricing Model, random timing is a superior trading strategy in the long run. However, the MA technique may be more successful, if there are predictable stochastic trends in the price series. In the paper, eight representative firms are selected for both fossil and renewable portfolios with actually tradable stocks in order to create two Exchange-Traded Funds (ETF). The paper finds that MA timing outperforms random timing for the ETF of renewable energy companies, but not for the ETF of fossil energy companies.

Original languageEnglish
Pages (from-to)1798-1810
Number of pages13
JournalEnergy Reports
Volume6
DOIs
Publication statusPublished - Nov 2020

Bibliographical note

Funding Information:
The authors are most grateful to two reviewers for very helpful comments and suggestions. For financial support, the first author wishes to acknowledge the Ministry of Science and Technology (MOST) , Taiwan, and the fourth author is grateful to the Australian Research Council and Ministry of Science and Technology (MOST) , Taiwan.

Publisher Copyright:
© 2020 The Authors

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