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Is the Swedish stock market efficient? Evidence from some simple trading rules

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  • Metghalchi, Massoud
  • Chang, Yung-Ho
  • Marcucci, Juri

Abstract

In this paper we examine the profitability of some technical trading rules in the Swedish stock market over the 1986-2004 periods. The results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading, even after accounting for the effects of data snooping biases. To assess the profitability of different technical trading rules and strategies, we adopt White's [White, H. (2000). A Reality Check for data snooping, Econometrica, 68, 1097-1126.] Reality Check test that quantifies the data snooping bias adjusting for its effects. Our results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy even considering transaction costs.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 17 (2008)
Issue (Month): 3 (June)
Pages: 475-490

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Handle: RePEc:eee:finana:v:17:y:2008:i:3:p:475-490

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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Cited by:
  1. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(4), pages 154-163, September.
  2. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 214-229.
  3. Kung, James J., 2009. "Predictability of Technical Trading Rules: Evidence from the Taiwan Stock Market," Review of Applied Economics, Review of Applied Economics, Review of Applied Economics, vol. 5(1-2).

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