Guneratne Wickremasinghe
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4 publications
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Purchasing power parity in Sri Lanka during the recent float: some empirical evidence
Guneratne WickremasingheInvestment Management and Financial Innovations Volume 6, 2009 Issue #4
Views: 379 Downloads: 122 TO CITE -
Assessing financial condition of local government in Indonesia: an exploration
Irwan Taufiq Ritonga , Colin Clark , Guneratne Wickremasinghe -
The profitability of MACD and RSI trading rules in the Australian stock market
Investment Management and Financial Innovations Volume 11, 2014 Issue #4 (cont.)
Views: 572 Downloads: 817 TO CITE -
Market efficiency and technical analysis during different market phases: further evidence from Malaysia
Investment Management and Financial Innovations Volume 14, 2017 Issue #2 (cont. 2) pp. 359-366
Views: 994 Downloads: 183 TO CITE АНОТАЦІЯThe profitability of simple technical trading rules remains an interesting topic and has been thoroughly explored in the literature. In this paper, the authors investigate the profitability of two popular moving average (MA) rules in the Bursa Malaysia before, during and after the global financial crisis (GFC) of 2008-2009. Using variable length MA (VMA) and fixed length MA (FMA) technical rules, the authors explore if there were differences in their performance during the different market phases, and if swing traders can gain by trading on the basis of these strategies. When practical trading constraints are considered, the authors find that MA rules performed differently during the three market phases. Over time, the forecasting powers of these rules have diluted and they have performed poorly in the most recent subsample. The findings suggest that the Malaysian stock market is gradually becoming more efficient. This outcome can be attributed to the technological advancements and widespread use of exchange traded funds.