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


  • Ren, Louie

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

  • Ren, Peter

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


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

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    More about this item


    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


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