Technical analysis, trading volume and market efficiency: evidence from an emerging market
AbstractAlthough there is a widespread belief that stock markets are weak-form efficient, technical analysis is a pervasive activity. The extent is examined to which this apparent paradox can be explained by conditioning the past sequence of prices on the past sequence of volume. A unique data set from an emerging market reveals that, for a number of companies in the sample, returns appear to conform to the weak-form version of the efficient markets hypothesis. However, when returns are conditioned on past levels of volume, current returns on over half of these companies exhibit predictability. This is particularly true from companies with low trading volumes.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 7 (1997)
Issue (Month): 4 ()
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- Yung-Ho Chang & Massoud Metghalchi & Chia-Chung Chan, 2006. "Technical trading strategies and cross-national information linkage: the case of Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 731-743.
- Vassiliy Chsherbakov, 2010. "Efficiency of Use of Technical Analysis: Evidences from Russian Stock Market," Ekonomika a Management, University of Economics, Prague, vol. 2010(4).
- Funk, Samuel M. & Zook, James E. & Featherstone, Allen M., 2008. "Chicago Board of Trade Ethanol Contract Efficiency," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6811, Southern Agricultural Economics Association.
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