Testing the Performance of Simple Moving Average With the Extension of Short Selling

2016

Master thesis Business Administration - University of Agder 2016 In this thesis, we test the performance of market timing based on simple moving average, which is one of the most popular trading strategies used by investors and practitioners to date. Previous studies have found evidence both in favour and against the effectiveness of the strategy, while a definite conclusion is yet to be commonly recognized. To address this, we reassess a previous study done on US portfolios with stocks from the NYSE, AMEX and NASDAQ, further investigate the effectiveness of the strategy in Norwegian portfolios constructed by stocks from the Oslo Stock Exchange (OSE). This thesis contributes with a new exte…