Money, finances and credit

Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks

Economic Annals-XXI

Economic Annals-ХХI: Volume 178, Issue 7-8, Pages: 114-122

Citation information:
Nor, S. M., & Zawawi, N. H. M. (2019). Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks. Economic Annals-XXI, 178(7-8), 114-122. doi: https://doi.org/10.21003/ea.V178-10

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Safwan Mohd Nor
PhD (Finance),
RHB Islamic Endowed Scholar in Finance,
Faculty of Business, Economics and Social Development,
University of Malaysia Terengganu
21030 Kuala Nerus, Terengganu, Malaysia;
Research Associate,
Victoria Institute of Strategic Economic Studies,
Victoria University
Melbourne, Victoria 3000, Australia
safwan@umt.edu.my ; 
safwan.mohdnor@live.vu.edu.au
ORCID ID: http://orcid.org/0000-0003-0791-2363

Nur Haiza Muhammad Zawawi
PhD (Accounting),
Senior Lecturer,
University of Malaysia Terengganu
21030 Kuala Nerus, Terengganu, Malaysia
nurhaiza@umt.edu.my
ORCID ID: https://orcid.org/0000-0002-9894-643X

Does technical analysis work in the Russian market? Insights from MICEX (MOEX Russia) Index component stocks

Abstract. Emerging markets are generally considered less information efficient as compared to their more developed counterparts. This suggests potential arbitrage opportunities through the use of some forms of trading rules which emit buy/sell signals. In this paper, we explore the hybrid rule of two popular oscillators, Chaikin Oscillator and Relative Strength Index, in the emerging market of Russia. Data include constituents of the market barometer for the period 26/11/2011 to 31/07/2019.

The whole sample is divided into three non-overlapping subperiods to distinguish each phase for the likelihood that the market is becoming more efficient in recent times. These subperiods also represent significant developments in the market such as unified trading platform, initial public offering of the Moscow Exchange, corporate governance reforms and rebranding of the benchmark index from MICEX to MOEX Russia Index.

We find that the combined rule can yield positive returns and dominate the buy-and-hold rule especially at the start, although this outperformance diminishes. Further, from subperiod II onwards, passive strategy surpasses the hybrid rule in risk-return sense (Sharpe and Sortino measures) and this outcome intensifies. The results suggest that the Russian stock market progressively moves towards efficiency.

Keywords: Technical Analysis; Chaikin Oscillator; Relative Strength Index; Hybrid Rule; Market Efficiency; Trading Strategy; Moscow Exchange; MICEX; MOEX Russia Index

JEL Classifications: G11; G14; G17

Acknowledgements and Funding: The main author is the RHB Islamic Endowed Scholar in Finance and Senior Lecturer (Finance) at University of Malaysia Terengganu. The authors thank RHB Islamic Bank Berhad for the financial support in publishing this paper (Grant Number: 53276).

Contribution: Both authors contributed significantly and equally to this work.

DOI: https://doi.org/10.21003/ea.V178-10

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Received 19.08.2019
Received in revised form 29.08.2019
Accepted 30.08.2019
Available online 30.09.2019

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