Stock Price Behavior and Trading

Seelenfreund, Alan; Parker, George G. C.; Horne, James C. Van

doi:10.2307/2329813

Cited by 8 publications

(1 citation statement)

References 14 publications

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“…RWH states that stock market information is uninhibitedly and promptly accessible and that there are numerous market participants with adequate assets to exploit any benefitting chance emerging from methodical value developments of an individual stock. These members contend with one another making all non-arbitrary vacillations too little to possibly be abused productively (Seelenfreund, 1968). The RWH is of the opinion that information in the market is frictionless and available and there are numerous competing institutional and individual participants in the capital market with the expectation of abnormal return arising from a nonrandom movement in the asset values.…”

Section: Background To the Studymentioning

confidence: 99%

Random Walk Hypothesis and Security Return in Nigeria

Osasere¹

2020

theijbm

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This paper was set out to validate the random walk hypothesis on security returns in the Nigeria. The primary objective was to investigate the hypothesis of random walk on security returns in the Nigeria capital market.This study made use of data collected annually from the Nigerian stock exchange (NSE) between 1986-2017. However, in order to validate the theory of RW in the Nigeria bourse, unit root test was adopted and the hypothesis was tested at a critical value of 5% and 10% respectively. It was revealed from the analysis that the Nigeria capital market is currently nonrandom. This implies that and participant can outperform the market with past return if they can efficiently allocate their asset. We therefore recommended that investors should put into consideration the trend of movement of returns in other to maximize their portfolio.

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Section: Background To the Studymentioning

confidence: 99%

Random Walk Hypothesis and Security Return in Nigeria

Osasere¹

2020

theijbm

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The performance of moving average rules in emerging stock markets

Fifield

Power

Knipe

2008

Applied Financial Economics

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The question of whether active trading strategies outperform the more naive approaches that are available to investors has returned to the research agenda. The topic had been hotly debated in the early and middle 1960s, but seemed to have been dispatched to the academic sidelines by proponents of the Efficient Market Hypothesis (EMH). However, the developments in behavioural finance which recognize that individuals may make mistakes when valuing securities have revived interest in this topic. In addition, recent evidence has re-ignited the debate and there is now a new strand of literature which re-examines whether trading strategies based on historic information can yield profits. The current article builds on this recent body of evidence by examining moving average rules for 15 emerging and three developed markets over the period 1989-2003. The results indicate that the return behaviour of the emerging markets studied differed markedly from that of their developed market counterparts; moving average rules were more profitable when tested using emerging stock market indices. In addition, this profitability persisted for longer moving averages, suggesting that trends in share returns were larger and more persistent in emerging markets.

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Testing the CRISMA trading system: evidence from the UK market

Goodacre¹,

Bosher²,

Dove³

1999

Applied Financial Economics

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A number of recent studies on technical analysis using individual measures such as filter rules, moving averages and trading range break-out have provided a measure of support for their usefulness. The current study tests the multiple-component CRISMA trading system of Pruitt and White (Journal of Portfolio Management, 14, 1988) in a UK context. The system seeks to identify equity trades (and subsequently, call options written on these shares) by using jointly the three technical filters of relative strength, cumulative volume and the relationship between 50-day and 200- day moving averages. The results over the period January 1987 to June 1996 show that the CRISMA system would have been profitable, generating an annualized profit of 19.3%. However, when adjusted for market movements and risk it was unable to predict significant excess returns. Further, the results were not stable over time and trades on larger companies fared better than small. When the signals were used to trade options, CRISMA was able to predict high returns (mean return of 10.2% per trade even in the presence of maximum retail costs) but with only 55% of trades profitable (proportion not statistically significant). Overall, the results are consistent with weak form efficiency in the UK equity market.

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Stock Price Behavior and Trading

Cited by 8 publications

References 14 publications

Random Walk Hypothesis and Security Return in Nigeria

Random Walk Hypothesis and Security Return in Nigeria

The performance of moving average rules in emerging stock markets

Testing the CRISMA trading system: evidence from the UK market

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