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| Tekijä: | Fifield, S.G.M. Power, D.M. Sinclair, C.D. |
| Otsikko: | An analysis of trading strategies in eleven European stock markets |
| Lehti: | European Journal of Finance
2005 : DEC, VOL. 11:6, p. 531-548 |
| Asiasana: | stock markets emerging markets market efficiency trading strategy Europe |
| Kieli: | eng |
| Tiivistelmä: | The validity of the weak form efficient market hypothesis (EMH) has been called into question. This paper analyzes the forecasting power of two of the most popular trading rules using index data for a selection of 11 European stock markets over the Jan 1991 to Dec 2000 period. The findings indicate that the emerging markets included in the study are informationally inefficient. These markets display some degree of predictability in their share returns, although the developed markets did not. In addition, the results point to large differences in the performance of the rules examined. While small size filters consistently outperformed the buy-and-hold strategy in the emerging markets examined even after the consideration of transaction costs, the performance of the moving average rules was erratic, varying dramatically from market to market. |
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