Revisit the Moving Average Technical Trading Rule for the NASDAQ Composite Index

Authors

Louie Ren, University of Houston-VictoriaFollow
Peter Ren, University of Houston-DowntownFollow
Jeffrey Yi-Lin Forrest, Slippery Rock UniversityFollow

Abstract

We check the regression model assumptions via residual analysis using one dummy variable for Buy and Sell Days. Since the returns of the NASDAQ composite index is not stationary, it is inappropriate to use the Student T-test on Buy and Sell Days to analyze the efficiency of the market via moving average technical trading rules. As such, the Buy-Sell Days from the moving average trading rules have no predictability on daily NASDAQ index returns. This refutes the results of at least two studies on the NASDAQ Composite Index.

Recommended Citation

Ren, Louie; Ren, Peter; and Forrest, Jeffrey Yi-Lin (2023) "Revisit the Moving Average Technical Trading Rule for the NASDAQ Composite Index," Pennsylvania Economic Review: Vol. 30: No. 2, Article 3.
DOI: https://doi.org/10.65193/3067-8080.1031