Episodic dependencies and the profitability of moving average strategy on Romanian capital market
AbstractEpisodic dependencies and moving averages profitability of Romanian capital markets. The evolution of informational efficiency of Romanian stock market is illustrated by means of a test which takes into account nonlinear dynamics. According to this test, we cannot consider a significant amelioration of the efficiency degree of Romanian stock market. Moreover, knowing that random walk are joint tests of the efficiency hypothesis, there was researched the profitability of moving averages on the identified linear and nonlinear correlation sub periods. The results revealed that only nonlinear dependencies are profitably exploited by the moving averages strategies. The most profitable strategy of 15000 strategies was analyzed. The originality of this research is given by the combination of random walk tests with the technical analysis tests, which led to the construction of a new methodology for the evaluation of informational efficiency in weak form.
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Bibliographic InfoArticle provided by Asociatia Generala a Economistilor din Romania - AGER in its journal Theoretical and Applied Economics.
Volume (Year): 11(528)(supplement) (2008)
Issue (Month): 11(528)(supplement) (November)
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emergent market; episodic dependencies; bicorrelation test; window testing procedure.;
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- Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
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