A test of significance of the predictive power of the moving average trading rule of technical analysis based on sensitivity analysis: application to the NYSE, the Athens Stock Exchange and the Vienna Stock Exchange. Implications for weak-form market efficiency testing

2011 ◽  
Vol 21 (6) ◽  
pp. 421-436 ◽  
Author(s):  
A. E. Milionis ◽  
E. Papanagiotou
Keyword(s):  
Sensitivity Analysis ◽  
Market Efficiency ◽  
Predictive Power ◽  
Stock Exchange ◽  
Moving Average ◽  
Weak Form ◽  
Trading Rule ◽  
Analysis Application ◽  
Test Of Significance ◽  
Athens Stock Exchange

scholarly journals Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data

2020 ◽  
Vol 6 (1) ◽  
pp. 1-10
Author(s):  
Syed Arshad Ali Shah ◽  
Naimat Ullah Khan ◽  
Muhammad Daud Ali
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Moving Average ◽  
Abnormal Returns ◽  
Strong Support ◽  
Weak Form ◽  
Firm Level ◽  
Technical Trading Rules ◽  
Share Prices ◽  
Level Data

This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

scholarly journals Asset allocation in the Athens stock exchange: a variance sensitivity analysis

2011 ◽  
Vol 17 (2) ◽  
pp. 167-181 ◽  
Author(s):  
Panayiotis F. Diamandis ◽  
Anastassios A. Drakos ◽  
Georgios P. Kouretas ◽  
Leonidas P. Zarangas
Keyword(s):  
Sensitivity Analysis ◽  
Asset Allocation ◽  
Stock Exchange ◽  
Athens Stock Exchange

Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study.

2017 ◽  
Vol 11 (1) ◽  
pp. 1-26
Author(s):  
Efstathios Xanthopoulos ◽  
Konstantinos Aravossis ◽  
Spyros Papathanasiou
Keyword(s):  
Stock Exchange ◽  
Statistical Tests ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Trading Strategies ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Greek Crisis ◽  
Athens Stock Exchange

This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.

scholarly journals Market Efficiency For S&P 500: 1954-2004

2011 ◽  
Vol 4 (7) ◽  
Author(s):  
Massoud Metghalchi ◽  
Xavier Garza-Gomez ◽  
Chien-Ping Chen ◽  
Stanley Monsef
Keyword(s):  
Market Efficiency ◽  
Predictive Power ◽  
Moving Average ◽  
Stock Index ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Daily Data ◽  
Market Inefficiency ◽  
Price Patterns

This paper tests three moving average technical trading rules for the S&P 500 stock index. Using daily data from 1954 to 2004, our results indicate that moving average rules did indeed had predictive power and could discern recurring-price patterns for the period up to mid 1980s. However, since mid 1980s, technical trading rules do not work and could not discern recurring-price patterns. Our results are consistent with market inefficiency from 1954 to 1984 and market efficiency from 1984 to present.

scholarly journals Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

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