A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994

Hudson, Robert S.; Dempsey, Michael; Keasey, Kevin

doi:10.1016/0378-4266(95)00043-7

Cited by 221 publications

(155 citation statements)

References 2 publications

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“…The largest buy-sell difference is again associated with the (1,50,0.01) rule. The buy-sell differences are lower than those found by Hudson et al (1996), again suggesting a weakening of the rule. Panel C reports the TOPIX results and indicate that all rules examined produce positive buy and negative sell returns, and positive buy-sell differences, all figures being significant.…”

Section: Are Ma Rules Still Successful?mentioning

confidence: 51%

“…Panel A of Table 3 presents the DJIA results and shows that none of the buy or sell returns is significant (and the latter are positive rather than negative), and the buy-sell differences are 9 For consistency with most prior studies including, e.g., BLL, Hudson et al (1996) and Han et al (2013), in this and subsequent tables we calculate our t-statistics as follows. For buy ( 10 We study 1987-2013 data while BLL used 1896-1986 data.…”

Section: Are Ma Rules Still Successful?mentioning

confidence: 97%

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How exactly do markets adapt? Evidence from the moving average rule in three developed markets

Urquhart

Gębka

Hudson

2015

Journal of International Financial Markets, Institutions and Mo

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A c c e p t e d M a n u s c r i p t Highlights  The moving average rule is examined in three developed markets. We show that the predictability of the moving average has diminished in all three markets over the 1987-2013 period. We also show that in the 1987-2013 period, markets react to new buy/sell signals not on the day those signals are generated, but the day before. A simple trading strategy based on anticipated signals would yield superior profits to investors. Therefore our results suggest that trading rules do adapt over time in line with the Adaptive Market Hypothesis. AcknowledgementsThe authors are grateful for helpful comments and suggestions received from participants at the 2014

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Section: Are Ma Rules Still Successful?mentioning

confidence: 51%

Section: Are Ma Rules Still Successful?mentioning

confidence: 97%

How exactly do markets adapt? Evidence from the moving average rule in three developed markets

Urquhart

Gębka

Hudson

2015

Journal of International Financial Markets, Institutions and Mo

Self Cite

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“…Michel and Hawawini (1984), Hudson, Dempsey and Keasey (1994) and Nicolaas (1997) found out that prices are hard to predict. They maintained that prices follow a random walk, hence market is efficient.…”

Section: Literature Reviewmentioning

confidence: 99%

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups : 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both NonParametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weakform efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index.

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“…Yu et al argued that the predictive ability of technical trading rules appears only when the market is less efficient [8]. Hudson et al tested the possibility of earning excess returns by using technical analysis in the UK market and found that although the technical trading rules do have predictive ability, it considerably weakens when one takes into account trading costs [9].…”

Section: Introductionmentioning

confidence: 99%

Testing the performance of technical trading rules in the Chinese markets based on superior predictive test

Wang

Jiang

et al. 2015

Physica A: Statistical Mechanics and its Applications

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Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on the Shanghai Securities Composite Index (SSCI) from May 21, 1992 through June 30, 2013 and Shanghai Shenzhen 300 Index (SHSZ 300) from April 8, 2005 through June 30, 2013 to check whether an effective trading strategy could be found by using the performance measurements based on the return and Sharpe ratio. To correct for the influence of the data-snooping effect, we adopt the Superior Predictive Ability test to evaluate if there exists a trading rule that can significantly outperform the benchmark. The result shows that for SSCI, technical trading rules offer significant profitability, while for SHSZ 300, this ability is lost. We further partition the SSCI into two sub-series and find that the efficiency of technical trading in sub-series, which have exactly the same spanning period as that of SHSZ 300, is severely weakened. By testing the trading rules on both indexes with a five-year moving window, we find that the financial bubble from 2005 to 2007 greatly improve the effectiveness of technical trading rules. This is consistent with the predictive ability of technical trading rules which appears when the market is less efficient.

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A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994

Cited by 221 publications

References 2 publications

How exactly do markets adapt? Evidence from the moving average rule in three developed markets

How exactly do markets adapt? Evidence from the moving average rule in three developed markets

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Testing the performance of technical trading rules in the Chinese markets based on superior predictive test

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