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The performance of filter rules on the Jamaican Stock Exchange

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  • Delroy Hunter

Abstract

A filter test of the daily returns over the period 1989 to 1994 is employed to determine the efficiency of the market. The main result is that the naive 'buy and hold' investment strategy generally outperformed the more active trading strategies. This is surprising in light of previous test which indicated that the market is inefficient. Generally the larger filters generated greater terminal wealth.

Suggested Citation

  • Delroy Hunter, 1998. "The performance of filter rules on the Jamaican Stock Exchange," Applied Economics Letters, Taylor & Francis Journals, vol. 5(5), pages 297-300.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:5:p:297-300
    DOI: 10.1080/758524404
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    References listed on IDEAS

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    1. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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    1. Scholz, Peter & Walther, Ursula, 2011. "The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant," CPQF Working Paper Series 29, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    2. Suzanne Fifield & David Power & C. Donald Sinclair, 2005. "An analysis of trading strategies in eleven European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 531-548.

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