History of share prices and market efficiency of the Madrid general stock index

Metghalchi, Massoud; Chen, Chien-Ping; Hayes, Linda A.

doi:10.1016/j.irfa.2015.05.016

Cited by 34 publications

(10 citation statements)

References 46 publications

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“…The first four strategies have been taken from Metghalchi et al. (). Note the return for leverage days are estimated as follows: R t = 2 × R t − R tM , where R t and R tM are the index return and money market return on day t .…”

Section: Profitability Of Technical Analysismentioning

confidence: 99%

“…The first four strategies have been taken from Metghalchi et al (2015). Note the return for leverage days are estimated as follows: R t = 2 × R t − R tM , where R t and R tM are the index return and money market return on day t. Similar to the B&H strategy, a trader has a position (Return) every day in all of these six strategies, and we can compare the risk return (inclusive of transaction costs) of each strategy with the B&H model.…”

Section: The Same Asmentioning

confidence: 99%

“… Further studies on the profitability of TA include Lesmond, Schill, and Zhou (), Hsu and Kuan (), Dunis and Chen (), Chang, Metghalchi, and Chan (), Chen and Li (), Menkhoff and Taylor (), Lento (), Marshall, Cahan, and Cahan (), Metghalchi, Chang, and Marcucci (), Balsara, Chen, and Zheng (), Schulmeister (), Chong, Cheng, and Wong (), Teixeira and Inácio de Oliveira (), Creamer and Freund (), Chen, Huang, and Lai (), Milionis and Papanagiotou (), Mitra (), Himmelmann, Schiereck, Simpson, and Zschoche (), Metghalchi, Chang, and Marcucci (), Lee and Tzeng (), Yu, Nartea, Gan, and Yao (), Han, Yang, and Zhou (), Pätäri and Vilska (), Mobarek and Fiorante (), Metghalchi, Pinho, and Sarmentosa (), Dbouk, Jamali, and Soufani (), Fang, Jacobsen, and Qin (), Neely, Rapach, Tu, and Zhou (), Heng and Niblock (), Gerristen, ; Metghalchi, Chen, and Hayes (), Shynkevich, ; Jackson and Ladley (), and Shynkevich, . …”

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confidence: 99%

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A technical approach to equity investing in emerging markets

2018

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Technical analysis (TA) is used in evaluating its predictive power for the Morgan Stanley Capital International (MSCI) Emerging Market Index (EMI) that reflects 23 emerging market economies’ equity indices. We conclude strong predictive power of technical analysis for the EMI. Given this predictive power of TA, we then investigate whether investors can exploit this predictive power to beat the profitability of the Buy‐and‐Hold strategy considering both risk and transaction costs. Applying Moving Average, Relative Strength Index, Moving Average Convergence Divergence, and Rate of Change trading rules to the MSCI Emerging Market Index over the period of 11/1/1988 to 5/1/2017 reveals strong empirical evidence that investors could use TA to out‐perform the Buy‐and‐Hold strategy even when considering risk and transaction costs. This research provides evidence against the Efficient Market Hypothesis for EMI.

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Section: Profitability Of Technical Analysismentioning

confidence: 99%

Section: The Same Asmentioning

confidence: 99%

mentioning

confidence: 99%

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A technical approach to equity investing in emerging markets

2018

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“…In this study, following Metghalchi et al (2015), we consider a total of four strategies as the following:…”

Section: Trading Strategiesmentioning

confidence: 99%

Moving Average Trading Rules for NASDAQ Composite Index

Chen¹

2016

AFL

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Abstract:This paper tests a few moving average technical trading rules for the NASDAQ Composite index from 1972 to 2015. Our results indicate that moving average (MA) rules do exhibit strong predictive power for NADSAQ composite index. Can a trader use this predictive to beat the Buy and hold strategy? We show that MA-100 days can, most of the time, make an abnormal profit in the case of NASDAQ composite index by considering both transaction costs and risk. In addition RSI and MACD trading rules have also strong predictive power.

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“…How efficient are the world's stock markets? This question has continued to elicit the interest of researchers ever since the work of Samuelson (1965) and the persuasive treatise of Fama (1965Fama ( , 1970Fama ( , 1991; see, for example, Lo and MacKinlay (1988); Poterba and Summers (1988); Shiller (1989); Urrutia (1995); Kavussanos and Dockery (2001); Al-Khazali et al (2007); Kim and Shamsuddin (2008); Wang et al (2009); Borges (2010); Rejichi and Aloui (2012); Sensoy (2013); Gozbasi et al (2014); Tiwari and Kyophilavong (2014); Metghalchi et al (2015), Anagnostidis et al (2016), and Seetharam et al (2017). Fama's (1991) narrative on the categories of market efficiency has triggered a considerable amount of empirical research that seeks to determine whether developed and nascent capital markets reveal themselves to be specifically weak-form or semi-strong-form efficient capital markets; for a discussion, see Lim and Brooks (2011).…”

Section: Introductionmentioning

confidence: 99%

Testing for efficiency in the Saudi stock market: does corporate governance change matter?

Al‐Faryan

Dockery

2020

Rev Quant Finan Acc

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We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

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History of share prices and market efficiency of the Madrid general stock index

Cited by 34 publications

References 46 publications

A technical approach to equity investing in emerging markets

A technical approach to equity investing in emerging markets

Moving Average Trading Rules for NASDAQ Composite Index

Testing for efficiency in the Saudi stock market: does corporate governance change matter?

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