The Profitability of Seasonal Trading Timing: Insights from Energy-Related Markets
學年 112
學期 1
出版（發表）日期 2023-10-30
作品名稱 The Profitability of Seasonal Trading Timing: Insights from Energy-Related Markets
作品名稱（其他語言）
著者 Ni, Yen-sen
單位
出版者
著錄名稱、卷期、頁數 Energy Economics 128,　107132
摘要 Evaluating subsequent performance is critical in investment decision-making since investors make investment decisions now, but the profits generated will only be known later. However, the research on the significance of subsequent performance as trading signs issued by technical trading regulations in different seasons (hereafter referred to as seasonal effects) is limited and understudied, despite the widespread exploration of January and weekly effects in relevant studies. This study aimed to address this research gap and examine the impact of seasonal effects on clean energy and energy markets, revealing several critical findings. First, contrarian (momentum) trading rules generated better succeeding performance for the energy (clean energy) index than the clean energy (energy) index. Second, momentum (contrarian) trading rules generated better succeeding performance for the clean energy (energy) index than the energy (clean energy) index. Third, momentum (contrarian) trading rules exhibited stronger seasonal effects in Season 1 (Season 2) than in other seasons. Fourth, the analysis of RSI trading signals in Season 1 showed that the better succeeding index performance for clean energy was shown over 15% average holding period returns, compared to the near-zero mean daily returns for both clean energy and energy index returns over the data period. This study also indicates that considerable seasonal effects exist in both clean energy and energy markets.
關鍵字 Seasonal trading timing;Contrarian strategies;Momentum strategies;Seasonal effects;Technical trading rules;Energy/clean energy markets
語言 en_US
ISSN 0140-9883
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125119 )