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The benefits of combining seasonal anomalies and technical trading rules

Gebka, Bartosz; Hudson, Robert S.; Atanasova, Christina V.

Authors

Bartosz Gebka

Robert S. Hudson

Christina V. Atanasova



Abstract

Although many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best known effects: the moving average rule, the turn of the month effect, and the Halloween effect. We show that the rules can be combined effectively, giving significant levels of returns predictability with low risk and offering the possibility of profitable trading. This new investment approach is especially beneficial for a typical individual investor, who faces high transaction costs and is poorly diversified.

Citation

Gebka, B., Hudson, R. S., & Atanasova, C. V. (2015). The benefits of combining seasonal anomalies and technical trading rules. Finance research letters, 14, 36-44. https://doi.org/10.1016/j.frl.2015.06.001

Journal Article Type Article
Acceptance Date Jun 19, 2015
Online Publication Date Jun 26, 2015
Publication Date 2015-08
Deposit Date Jul 28, 2015
Publicly Available Date Jul 28, 2015
Journal Finance research letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 14
Pages 36-44
DOI https://doi.org/10.1016/j.frl.2015.06.001
Keywords Technical trading; Calendar anomalies; Stock market predictability; Market efficiency
Public URL https://hull-repository.worktribe.com/output/377039
Publisher URL http://www.sciencedirect.com/science/article/pii/S1544612315000628
Copyright Statement © 2015, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Additional Information Author's accepted manuscript of article published in: Finance research letters, 2015, v.14

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