Performanceevaluering af den tekniske analysemetode glidende gennemsnit på det danske aktiemarked

Henrik Kildegaard

Student thesis: Master thesis

Abstract

Moving average is a technical analysis method used by investors to time the buying and selling of stocks. Several studies of moving average have been done upon markets other than the Danish stock market and most of these studies conclude the method is likely to generate a positive return. It is uncertain, however, whether moving average will be able to generate a positive return in the Danish stock market, which is why this will be investigated in this thesis. Moving average is a technical analysis method used by investors to time the buying and selling of stocks. Several international studies have shown the moving average method is likely to generate a positive return; however, it is uncertain whether the same is the matter for the Danish stock market, which will be investigated in this thesis. To investigate the performance of moving average on the Danish stock market a performance evaluation has been made. This evaluation is done based on the methodological approach of former studies. 224 indicators are tested over a period of 15 years. The top five performing indicators are chosen by taking transaction costs into consideration and these indicators are tested in a separate period of 10 years. The thesis concludes there is no significant difference between the return of the moving average strategy and the return of a passive buy-and-hold strategy when taking transaction costs into consideration. However, the study reveals that four out of five indicators have greater risk adjusted return than the risk adjusted return from a passive buy-and-hold strategy. The same four indicators are significantly over performing compared to CAPM requirements. The performance of the moving average on the Danish stock market varies; in addition to this the transaction costs have a great influence on the return, particularly considering short term moving average indicators. Looking forward it would be interesting to investigate whether the four over performing indicators would result in the same positive return if the data or method is changed.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
LanguageDanish
Publication date2011
Number of pages82