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The performance of filter rules on the Jamaican Stock Exchange

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  • Delroy Hunter
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    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.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/758524404&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 5 (1998)
    Issue (Month): 5 ()
    Pages: 297-300

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    Handle: RePEc:taf:apeclt:v:5:y:1998:i:5:p:297-300

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    Cited by:
    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).

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