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A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994

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Cited by:

  1. James J. Kung & Wing‐Keung Wong, 2009. "Efficiency Of The Taiwan Stock Market," The Japanese Economic Review, Japanese Economic Association, vol. 60(3), pages 389-394, September.
  2. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
  3. Ming-Ming, Lai & Siok-Hwa, Lau, 2006. "The profitability of the simple moving averages and trading range breakout in the Asian stock markets," Journal of Asian Economics, Elsevier, vol. 17(1), pages 144-170, February.
  4. 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.
  5. Groenewold, Nicolaas & Kan Tang, Sam Hak & Wu, Yanrui, 2008. "The profitability of regression-based trading rules for the Shanghai stock market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 411-430.
  6. Wang, Shan & Jiang, Zhi-Qiang & Li, Sai-Ping & Zhou, Wei-Xing, 2015. "Testing the performance of technical trading rules in the Chinese markets based on superior predictive test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 114-123.
  7. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
  8. Hesham I. Almujamed & Suzanne G. M. Fifield & David M. Power, 2018. "An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 1-28, April.
  9. Edward R Dawson & James M. Steeley, 2003. "On the Existence of Visual Technical Patterns in the UK Stock Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 263-293, January.
  10. Bokhari, Jawaad & Cai, Charlie & Hudson, Robert & Keasey, Kevin, 2005. "The predictive ability and profitability of technical trading rules: does company size matter?," Economics Letters, Elsevier, vol. 86(1), pages 21-27, January.
  11. Michael McAleer & John Suen & Wing Keung Wong, 2016. "Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis," The Japanese Economic Review, Springer, vol. 67(3), pages 257-279, September.
  12. Alexandros E. Milionis & Evangelia Papanagiotou, 2008. "A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets," Working Papers 91, Bank of Greece.
  13. Terence Tai-Leung Chong & Wing-Kam Ng & Venus Khim-Sen Liew, 2014. "Revisiting the Performance of MACD and RSI Oscillators," JRFM, MDPI, vol. 7(1), pages 1-12, February.
  14. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.
  15. Stephan Schulmeister, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 190-201, October.
  16. Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017. "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, vol. 22(C), pages 136-139.
  17. Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012. "Is the Chinese stock market really inefficient?," China Economic Review, Elsevier, vol. 23(1), pages 122-137.
  18. Salma Khand & Vivake Anand & Mohammad Nadeem Qureshi, 2020. "The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-38, March.
  19. Stefán B. Gunnlaugsson, 2018. "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 46-55, March.
  20. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
  21. J. Andrew Coutts, 2010. "Trading rules and stock returns: some further short run evidence from the Hang Seng 1997-2008," Applied Financial Economics, Taylor & Francis Journals, vol. 20(21), pages 1667-1672.
  22. Daskalakis, George, 2013. "On the efficiency of the European carbon market: New evidence from Phase II," Energy Policy, Elsevier, vol. 54(C), pages 369-375.
  23. Valeriy Zakamulin, 2014. "The real-life performance of market timing with moving average and time-series momentum rules," Journal of Asset Management, Palgrave Macmillan, vol. 15(4), pages 261-278, August.
  24. Gerritsen, Dirk F. & Bouri, Elie & Ramezanifar, Ehsan & Roubaud, David, 2020. "The profitability of technical trading rules in the Bitcoin market," Finance Research Letters, Elsevier, vol. 34(C).
  25. Ratner, Mitchell & Leal, Ricardo P. C., 1999. "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1887-1905, December.
  26. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
  27. Masud Pervez & Md. Harun Ur Rashid & Md. Asad Iqbal Chowdhury & Mahbubur Rahaman, 2018. "Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 88-95.
  28. Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019. "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 257-293, July.
  29. Alexandros E. Milionis & Evangelia Papanagiotou, 2008. "On the Use of the Moving Average Trading Rule to Test for Weak Form Efficiency in Capital Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(2), pages 181-201, July.
  30. Terence Tai-Leung Chong & Sheung Tat Chan, 2008. "Structural Change in the Efficiency of the Japanese Stock Market after the Millennium," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-7.
  31. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
  32. Shan Wang & Zhi-Qiang Jiang & Sai-Ping Li & Wei-Xing Zhou, 2015. "Testing the performance of technical trading rules in the Chinese market," Papers 1504.06397, arXiv.org.
  33. repec:ebl:ecbull:v:7:y:2008:i:7:p:1-7 is not listed on IDEAS
  34. David I. Harvey & Stephen J. Leybourne & Robert Sollis & A.M. Robert Taylor, 2021. "Real‐time detection of regimes of predictability in the US equity premium," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 45-70, January.
  35. William Wai Him Tsang & Terence Tai Leung Chong, 2009. "Profitability of the On-Balance Volume Indicator," Economics Bulletin, AccessEcon, vol. 29(3), pages 2424-2431.
  36. Martín García, Rodrigo & Ventura Pérez, Enrique & Arguedas Sanz, Raquel, 2020. "Temporal optimisation of signals emitted automatically by securities exchange indicators," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  37. Ma-Ju Wang, 2014. "A Study on the Differences in Adopting Cash Refund Capital Reduction and Stock Repurchase By Companies in Bull and Bear Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(9), pages 1237-1253, September.
  38. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
  39. Elaine Y. L. Loh, 2007. "An alternative test for weak form efficiency based on technical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(12), pages 1003-1012.
  40. Mensah, Justice T. & Pomaa-Berko, Maame & Adom, Philip Kofi, 2012. "Does Automation Improve Stock Market Efficiency? Evidence from Ghana," MPRA Paper 43642, University Library of Munich, Germany.
  41. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
  42. Hui Qu & Xindan Li, 2014. "Building Technical Trading System with Genetic Programming: A New Method to Test the Efficiency of Chinese Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 43(3), pages 301-311, March.
  43. Ume Habibah & Niaz Hussain Ghumro & Manzoor Ali Mirani, 2017. "Testing the Random Walk Hypothesis: A Case of Pakistan," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(7), pages 551-564, July.
  44. Marshall, Ben R. & Cahan, Rochester H., 2005. "Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?," Research in International Business and Finance, Elsevier, vol. 19(3), pages 384-398, September.
  45. Isakov, Dusan & Marti, Didier, 2011. "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers 421, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
  46. Alexandros Milionis & Evangelia Papanagiotou, 2009. "A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-for," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1171-1186.
  47. Chen Su & Hanxiong Zhang & Nathan Lael Joseph, 2022. "The performance of UK stock recommendation revisions: Does brokerage house reputation matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3051-3070, July.
  48. Urquhart, Andrew & Gebka, Bartosz & Hudson, Robert, 2015. "How exactly do markets adapt? Evidence from the moving average rule in three developed markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 127-147.
  49. Alexandros E. Milionis & Evangelia Papanagiotou, 2013. "Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(11), pages 2480-2494, November.
  50. Batten, Jonathan A. & Ellis, Craig & Fetherston, Thomas A., 2005. "Return anomalies on the Nikkei: Are they statistical illusions?," Chaos, Solitons & Fractals, Elsevier, vol. 23(4), pages 1125-1136.
  51. Nam, Kiseok & Washer, Kenneth M. & Chu, Quentin C., 2005. "Asymmetric return dynamics and technical trading strategies," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 391-418, February.
  52. Terence Tai-Leung Chong & Chen Li & Ho Tin Yu, 2008. "Structural Change in the Stock Market Efficiency after the Millennium: The MACD Approach," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-6.
  53. Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V., 2015. "The benefits of combining seasonal anomalies and technical trading rules," Finance Research Letters, Elsevier, vol. 14(C), pages 36-44.
  54. Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A., 2015. "History of share prices and market efficiency of the Madrid general stock index," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 178-184.
  55. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
  56. Batten, Jonathan A. & Ellis, Craig A. & Fethertson, Thomas A., 2008. "Sample period selection and long-term dependence: New evidence from the Dow Jones index," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1126-1140.
  57. Nunez-Letamendia, Laura, 2007. "Fitting the control parameters of a genetic algorithm: An application to technical trading systems design," European Journal of Operational Research, Elsevier, vol. 179(3), pages 847-868, June.
  58. 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.
  59. Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011. "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 153-162.
  60. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  61. Batten, Jonathan A. & Lucey, Brian M. & McGroarty, Frank & Peat, Maurice & Urquhart, Andrew, 2018. "Does intraday technical trading have predictive power in precious metal markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 102-113.
  62. Panha Heng & Scott J. Niblock, 2014. "Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures," International Economic Journal, Taylor & Francis Journals, vol. 28(4), pages 679-692, December.
  63. Cui, Ling-xiao & Long, Wen, 2016. "Trading strategy based on dynamic mode decomposition: Tested in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 498-508.
  64. Tania Morris & Jules Comeau, 2020. "Portfolio creation using artificial neural networks and classification probabilities: a Canadian study," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 133-163, June.
  65. Chen, Cheng-Wei & Huang, Chin-Sheng & Lai, Hung-Wei, 2009. "The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets," Journal of Asian Economics, Elsevier, vol. 20(5), pages 580-591, September.
  66. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
  67. Ben Marshall & Sun Qian & Martin Young, 2009. "Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1213-1221.
  68. Grobys, Klaus & Ahmed, Shaker & Sapkota, Niranjan, 2020. "Technical trading rules in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 32(C).
  69. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
  70. Janet Jyothi Dsouza & T. Mallikarjunappa, 2015. "Does the Indian Stock Market Exhibit Random Walk?," Paradigm, , vol. 19(1), pages 1-20, June.
  71. Zhu, Hong & Jiang, Zhi-Qiang & Li, Sai-Ping & Zhou, Wei-Xing, 2015. "Profitability of simple technical trading rules of Chinese stock exchange indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 75-84.
  72. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
  73. R. Rosillo & D. de la Fuente & J. A. L. Brugos, 2013. "Technical analysis and the Spanish stock exchange: testing the RSI, MACD, momentum and stochastic rules using Spanish market companies," Applied Economics, Taylor & Francis Journals, vol. 45(12), pages 1541-1550, April.
  74. Metghalchi, Massoud & Chang, Yung-Ho & Marcucci, Juri, 2008. "Is the Swedish stock market efficient? Evidence from some simple trading rules," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 475-490, June.
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