Template-Type: ReDIF-Article 1.0

Author-Name: Attila Zoltan Nagy
Author-Workplace-Name: University of Pecs
Author-Email: nagy.attila.zoltan@ktk.pte.hu
Author-Person:  

Title: Market Timing Investment Methods on the Budapest Stock Exchange

Abstract: A large body of literature confirms that simple investment methods based on timing
can outperform and thus be an alternative to traditional investment strategies. The
study tests this hypothesis on the Budapest Stock Exchange stock index: a simple
timing strategy using 4,619 moving averages was tested on 554,935 trades over the
period from 1998 to 2022. The study finds that a wide range of the 4,619 variants
performed well on in-sample data, but most could not achieve outperformance
out of sample. In some cases, overfitting cannot be ruled out, nor can the effect of
randomness due to the low number of cases. The robust variant selected on the
in-sample data outperforms out of sample and over the full period at trading costs.
However, at a one per cent significance level the Monte Carlo simulation of this
variant does not allow the null hypothesis to be rejected, i.e. it cannot be ruled out
that randomness or market noise caused the results.

Classification-JEL: G17, C15, C41
Keywords: timing, technical analysis, stock markets, BUX index
Pages: 105-130
Volume: 23
Issue: 2
Year: 2024
File-URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-23-2-st4-nagy.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:23:y:2024:i:2:p:105-130