IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v11(528)(supplement)y2008i11(528)(supplement)p186-193.html
   My bibliography  Save this article

Episodic dependencies and the profitability of moving average strategy on Romanian capital market

Author

Listed:
  • Alexandru Todea

    (Babes-Bolyai University, Cluj-Napoca)

Abstract

Episodic dependencies and moving averages profitability of Romanian capital markets. The evolution of informational efficiency of Romanian stock market is illustrated by means of a test which takes into account nonlinear dynamics. According to this test, we cannot consider a significant amelioration of the efficiency degree of Romanian stock market. Moreover, knowing that random walk are joint tests of the efficiency hypothesis, there was researched the profitability of moving averages on the identified linear and nonlinear correlation sub periods. The results revealed that only nonlinear dependencies are profitably exploited by the moving averages strategies. The most profitable strategy of 15000 strategies was analyzed. The originality of this research is given by the combination of random walk tests with the technical analysis tests, which led to the construction of a new methodology for the evaluation of informational efficiency in weak form.

Suggested Citation

  • Alexandru Todea, 2008. "Episodic dependencies and the profitability of moving average strategy on Romanian capital market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 11(11(528)(s), pages 186-193, November.
    • Handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:186-193
    as

    Download full text from publisher

    File URL: http://www.asociatiaeconomistilor.ro/documente/Conferinta_FABBV_engleza.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:186-193. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.