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The Benefits of Combining Seasonal Anomalies and Technical Trading Rules

Lookup NU author(s): Professor Bartosz GebkaORCiD, Professor Robert Hudson

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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.

Publication metadata

Author(s): Gebka B, Hudson RS, Atanasova CV

Publication type: Article

Publication status: Published

Journal: Finance Research Letters

Year: 2015

Volume: 14

Pages: 36-44

Print publication date: 01/08/2015

Online publication date: 26/06/2015

Acceptance date: 19/06/2015

ISSN (print): 1544-6123

ISSN (electronic): 1544-6131

Publisher: Academic Press

URL: http://dx.doi.org/10.1016/j.frl.2015.06.001

DOI: 10.1016/j.frl.2015.06.001

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