Energy crypto currencies and leading U.S.energy stock prices:are Fibonacci retracementsprofitable?

This paper investigates the role of Fibonacci retracements levels,a popular technical analysis indicator,in predicting stock prices of leading U.S.energy companies and energy cryptocurrencies.The study methodology focuses on applying Fibonacci retracements as a system compared with the buy-and-hold strategy.Daily crypto and stock prices were obtained from the Standard&Poor’s composite 1500 energy index and CoinMarketCap between November 2017 and January 2020.This study also examined if the combined Fibonacci retracements and the price crossover strategy result in a higher return per unit of risk.Our findings revealed that Fibonacci retracement captures energy stock price changes better than cryptos.Furthermore,most price violations were frequent during price falls compared to price increases,supporting that the Fibonacci instrument does not capture price movements during up and downtrends,respectively.Also,fewer consecutive retracement breaks were observed when the price violations were examined 3 days before the current break.Furthermore,the Fibonacci-based strategy resulted in higher returns relative to the naïve buy-and-hold model.Finally,complementing Fibonacci with the price cross strategy did not improve the results and led to fewer or no trades for some constituents.This study’s overall findings elucidate that,despite significant drops in oil prices,speculators(traders)can implement profitable strategies when using technical analysis indicators,like the Fibonacci retracement tool,with or without price crossover rules.

Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach

The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.