Abstract
The paper re-examines whether investors can predict oil and gas stock prices for abnormal returns using autocorrelation-based trading and filter rules and moving average based strategies. Short and long lengths moving averages were employed and their performances measured against the returns from simple buy and hold investment strategy. The application of the trading rules employed has not shown the possibility that investors can make abnormal returns in oil and gas stocks. The performances of short and long moving averages examined have not shown any conclusive evidence that any of the moving averages results in more return than the other.
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