PROFITABILITY OF TECHNICAL TRADING RULES IN ISLAMIC STOCK MARKETS

Abstract

This paper examines the profitability of the moving average trading rule on the Islamic stock markets. We apply the trading rules associated with the 10-day, 20-day, and 50-day moving averages to 11 major Islamic stock market indices. It is found that, except Bangladesh, the moving average trading rules outperform the buy-and-hold strategy. The weighted moving average obtained higher return rates than other moving averages in most cases.