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Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets

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Author Info
Bill Cai
Charlie Cai
Kevin Keasey ()
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File URL: http://hdl.handle.net/10.1007/s10690-006-9012-y
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 12 (2005)
Issue (Month): 1 (March)
Pages: 45-60
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Handle: RePEc:kap:apfinm:v:12:y:2005:i:1:p:45-60

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: technical trading rules; market evolution; Chinese stock markets;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Fernandez-Rodriguez, Fernando & Gonzalez-Martel, Christian & Sosvilla-Rivero, Simon, 2000. "On the profitability of technical trading rules based on artificial neural networks:: Evidence from the Madrid stock market," Economics Letters, Elsevier, vol. 69(1), pages 89-94, October. [Downloadable!] (restricted)
    Other versions:
  2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May. [Downloadable!] (restricted)
  3. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December. [Downloadable!] (restricted)
  4. Ramazan Gencay & Thanasis Stengos, 1997. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(2), pages 23-34. [Downloadable!] (restricted)
    Other versions:
  5. Richard Baillie, 1989. "Econometric tests of rationality and market efficiency," Econometric Reviews, Taylor and Francis Journals, vol. 8(2), pages 151-186. [Downloadable!] (restricted)
  6. Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, EconWPA. [Downloadable!]
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  7. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 347-359, October. [Downloadable!] (restricted)
  8. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February. [Downloadable!] (restricted)
  9. M. R. Wickens, 1989. "Econometric tests of rationality and market efficiency," Econometric Reviews, Taylor and Francis Journals, vol. 8(2), pages 207-212. [Downloadable!] (restricted)
  10. Claessens, Stijn & Dasgupta, Susmita & Glen, Jack, 1995. "Return Behavior in Emerging Stock Markets," World Bank Economic Review, Oxford University Press, vol. 9(1), pages 131-51, January.
  11. Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May. [Downloadable!] (restricted)
  12. Bessembinder, Hendrik & Chan, Kalok, 1995. "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 257-284, July. [Downloadable!] (restricted)
  13. LeBaron, Blake, 1999. "Technical trading rule profitability and foreign exchange intervention," Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October. [Downloadable!] (restricted)
  14. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison. [Downloadable!]
  15. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December. [Downloadable!] (restricted)
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