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Testing the Weak-Form Market Eficiency of the Euronext Wheat

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  • Mihai Cristian Dinică
  • Erica Cristina (Balea) Dinică

Abstract

Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profitability of this strategy is then compared with the simple buy and hold strategy. The methodology is then repeated for different sub-samples in order to check the results’ robustness. The results show that the weak-form market efficiency hypothesis cannot be rejected for the wheat case.

Suggested Citation

  • Mihai Cristian Dinică & Erica Cristina (Balea) Dinică, 2015. "Testing the Weak-Form Market Eficiency of the Euronext Wheat," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(55), pages 25-38, March.
    • Handle: RePEc:rej:journl:v:18:y:2015:i:55:p:25-38
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    References listed on IDEAS

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    More about this item

    Keywords

    efficient market hypothesis; technical analysis; simple moving average; adaptive market hypothesis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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