IDEAS home Printed from https://ideas.repec.org/a/ris/apltrx/0413.html
   My bibliography  Save this article

Type I error of t-tests from the simple moving average technical trading rules

Author

Listed:
  • Ren, Louie

    () (University of Houston-Victoria, TX, USA)

  • Ren, Peter

    () (University of Houston-Downtown, Houston, TX, USA)

Abstract

Numerous studies have demonstrated the inefficiency of the market via applications of t-tests on returns from Buy and Sell Days. In this study, we highlight large type I errors associated with the tests and show that it is inappropriate to use t-tests on returns from Buy and Sell Days to support market inefficiency.

Suggested Citation

  • Ren, Louie & Ren, Peter, 2021. "Type I error of t-tests from the simple moving average technical trading rules," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 47-61.
  • Handle: RePEc:ris:apltrx:0413
    as

    Download full text from publisher

    File URL: http://pe.cemi.rssi.ru/pe_2021_61_047-061.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    efficient market; moving average trading rules; t-tests; type I error;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G00 - Financial Economics - - General - - - General

    Statistics

    Access and download statistics

    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:ris:apltrx:0413. 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: (Anatoly Peresetsky). General contact details of provider: http://appliedeconometrics.cemi.rssi.ru/ .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.