Normality of the T-tests for Buy and Sell Days from Moving Average Trading Rules on the NASDAQ

Abstract

In this article, we examine the sampling distributions of the T-ratios commonly used to support the exam of the market efficiency. From the p-values and the fixed block bootstrap methods, it shows that those T-ratios are far from the standard normal distribution claimed by numerous previous studies. Therefore, the T-ratios should not be used to test whether or not the market is efficient.