The performance of filter rules on the Jamaican Stock Exchange
A filter test of the daily returns over the period 1989 to 1994 is employed to determine the efficiency of the market. The main result is that the naive 'buy and hold' investment strategy generally outperformed the more active trading strategies. This is surprising in light of previous test which indicated that the market is inefficient. Generally the larger filters generated greater terminal wealth.
Volume (Year): 5 (1998)
Issue (Month): 5 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:5:y:1998:i:5:p:297-300. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.