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Type I error of t-tests from the simple moving average technical trading rules

Author

Listed:
  • Ren, Louie

    (University of Houston-Victoria, TX, USA)

  • Ren, Peter

    (University of Houston-Downtown, Houston, TX, USA)

Abstract

Numerous studies have demonstrated the inefficiency of the market via applications of t-tests on returns from Buy and Sell Days. In this study, we highlight large type I errors associated with the tests and show that it is inappropriate to use t-tests on returns from Buy and Sell Days to support market inefficiency.

Suggested Citation

  • Ren, Louie & Ren, Peter, 2021. "Type I error of t-tests from the simple moving average technical trading rules," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 47-61.
    • Handle: RePEc:ris:apltrx:0413
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    File URL: http://pe.cemi.rssi.ru/pe_2021_61_047-061.pdf
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    References listed on IDEAS

    as
    1. Metghalchi Massoud & Garza-Gomez Xavier, 2011. "Trading Rules for the Abu Dhabi Stock Index," Review of Middle East Economics and Finance, De Gruyter, vol. 7(1), pages 52-66, May.
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      More about this item

      Keywords

      efficient market; moving average trading rules; t-tests; type I error;
      All these keywords.

      JEL classification:

      • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
      • G00 - Financial Economics - - General - - - General

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