Journal of Business and Management

Journal of Business and Management

ISSN: 2291-1995 (Print)    ISSN: 2291-2002 (Online)

Volume 2 (2013), No. 3, Pages 22-31

DOI: 10.12735/jbm.v2i3p22

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Profitability of Applying Simple Moving Average Trading Rules for the Vietnamese Stock Market

Hoang Hung Nguyen1,2  Zhaojun Yang1 

1School of Finance and Statistics, Hunan University, China
2Department of Finance and Banking, Industrial University of Ho Chi Minh City, Vietnam

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This paper considers whether the moving average rules can forecast stock price movements and outperform a simple buy-and-hold strategy over the period from July 2000 to March 2011 on Vietnamese data. We concluded that the technical trading rules examined have strongly predictive ability in term of Vietnamese data. The rules have greater forecasting power for Vietnamese than those for some other Asian markets. Using all the VMA rules and averaging the results yields annualized profit of 39.05% before trading cost, compared to 37.29% in Thailand and 29.2% in some other emerging Asian markets. The profitability of short-term technical trading rules is better than that of longer-term ones. We realize that the (1,10,0) rule, (1,20,0) rule, and (1,50,0) rule are determined to be very effective in Vietnamese stock market because they allow investors to make a large excess returns before trading cost. Specially, unlike almost prior studies for other emerging markets, we prove that the technical trading rules are profitable, even after adjusting for trading costs. However, they are not effective to create access returns for investors in the Vietnamese market after reducing trading costs.

JEL Classifications: G14, G15, G17

Keywords: variable moving averages; technical trading rules; excess returns; transaction costs; trading range breakout

To Cite this Article: Nguyen, H. H., & Yang, Z. J. (2013). Profitability of applying simple moving average trading rules for the Vietnamese stock market. Journal of Business and Management, 2(3), 22-31.

Copyright © Nguyen Hoang Hung & Yang Zhaojun

Creative Commons License
This article is published under license to Science and Education Centre of North America. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International License.

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Profitability of Applying Simple Moving Average Trading Rules for the Vietnamese Stock Market