Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Workplace-Name: Department of Applied Economics Department of Finance National Chung Hsing University, Taiwan.
Author-Name: Jukka Ilomäki
Author-Workplace-Name: Faculty of Management University of Tampere, Finland.
Author-Name: Hannu Laurila
Author-Workplace-Name: Faculty of Management University of Tampere, Finland.
Author-Name: Michael McAleer
Author-Workplace-Name: Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks
Abstract: The paper examines whether the moving average (MA) technique can beat random market timing in traditional and newer branches of an industrial sector. 
	The sector considered is the energy sector, divided into balanced stock portfolios of fossil and renewable energy companies. Eight representative firms 
	are selected for both portfolios. The paper finds that MA timing outperforms random timing with the portfolio of renewable energy companies, whereas 
	the result is less clear with the portfolio of fossil energy companies. Thus, there seems to be more forecastable stochastic trends in sunrise branches 
	than in sunset branches.
Classification-JEL: C22, C32, L71, L72, Q16, Q42, Q47.
Keywords: Moving averages; Market timing; Industrial sector; Energy sector; Fossil fuels; Renewable energy; Random timing; Sunrise branches; Sunset branches.
Length: 35 pages 
Creation-Date: 2018-09
Number: 2018-24
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1824.txt
File-URL: https://eprints.ucm.es/id/eprint/49153/1/1824.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1824