How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?
Download full text from publisher
References listed on IDEAS
- Bajgrowicz, Pierre & Scaillet, Olivier, 2012.
"Technical trading revisited: False discoveries, persistence tests, and transaction costs,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
- Pierre Bajgrowicz & Olivier Scaillet, 2008. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
- Salih N. Neftci & Andrew J. Policano, 1984. "Can chartists outperform the market? market efficiency tests for “technical analysis”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 465-478, December.
- Joseph P. Romano & Michael Wolf, 2005.
"Stepwise Multiple Testing as Formalized Data Snooping,"
Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers 17, Barcelona Graduate School of Economics.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000.
"Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation,"
Journal of Finance,
American Finance Association, vol. 55(4), pages 1705-1770, August.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 1999. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Computing in Economics and Finance 1999 402, Society for Computational Economics.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," NBER Working Papers 7613, National Bureau of Economic Research, Inc.
- Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
- Ryan Sullivan & Allan Timmermann & Halbert White, 1999.
"Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap,"
Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
- Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group.
- Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998. "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers 1976, C.E.P.R. Discussion Papers.
- Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
- Cheol-Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
- Pele, Daniel Traian & Voineagu, Virgil, 2008. "Testing Market Efficiency Via Decomposition Of Stock Return. Application To Romanian Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 63-79, September.
- Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
- Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming, 2010. "Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 471-484, June.
- Olson, Dennis, 2004. "Have trading rule profits in the currency markets declined over time?," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 85-105, January.
- Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
- Po-Hsuan Hsu & Chung-Ming Kuan, 2005. "Reexamining the Profitability of Technical Analysis with Data Snooping Checks," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 606-628.
- Victor Dragota & Mihai Caruntu & Andreea Stoian, 2008. "An Analysis of Closed-end Fund Puzzle for Emerging Capital Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 10(10(527)), pages 53-60, October.
- Neftci, Salih N, 1991. "Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."," The Journal of Business, University of Chicago Press, vol. 64(4), pages 549-571, October.
- Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
- Stephen Taylor, 2000. "Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 39-69.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
- Allen, Franklin & Karjalainen, Risto, 1999. "Using genetic algorithms to find technical trading rules," Journal of Financial Economics, Elsevier, vol. 51(2), pages 245-271, February.
- Dragota, Victor & Stoian, Andreea & Pele, Daniel Traian & Mitrica, Eugen & Bensafta, Malik, 2009. "The Development of the Romanian Capital Market: Evidences on Information Efficiency," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 147-160, June.
- 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.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dan Gabriel Anghel, 2015. "Market Efficiency and Technical Analysis in Romania," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 164-177, April.
- Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," 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. 6(1), pages 015-028, June.
More about this item
StatisticsAccess and download statistics
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:rfb:journl:v:05:y:2013:i:2:p:089-115. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tatu Lucian). General contact details of provider: http://edirc.repec.org/data/ffasero.html .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.