Is the Swedish stock market efficient? Evidence from some simple trading rules

Bootstrap testing of trading strategies in emerging balkan stock markets

“…Using the always neutral position as a benchmark, the study fi nds in the RC and the SPA procedures that the hypothesis can be rejected at the ten percent level for the MBI10 and at the fi ve percent level for the others. These results show better performances using active investment strategy compared to passive one applied in case of six emerging fi nancial markets, confi rming the main fi ndings made by Fifi eld et al (2005), Metghalchi et al (2008), Papathanasiou and Samitas (2010) etc. Also, similar to the study of Pauwels et al (2012), this paper justifi es the existence of ineffi cient markets during and few years after the fi nancial crisis.…”

“…Chang et al (2004) Most recent evidence on testing technical trading rules in European stock markets presents following results. Metghalchi et al (2007) showed that moving average rules for the Austrian Stock market have predictive power and can notice price patterns for profi table trading. Metghalchi et al (2008) applied various trading rules in the Swedish stock market and referred that several moving average strategies outperform buy-and-hold strategy even considering transaction costs and data snooping.…”

“…Metghalchi et al (2007) showed that moving average rules for the Austrian Stock market have predictive power and can notice price patterns for profi table trading. Metghalchi et al (2008) applied various trading rules in the Swedish stock market and referred that several moving average strategies outperform buy-and-hold strategy even considering transaction costs and data snooping. Lonnbark and Soultanaeva (2009) presented the results of applying technical trading rules in three stock markets of the Baltic region.…”

Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

“…Lento (2007) examined the effectiveness of nine technical trading rules, including filter rules (momentum strategies) in many Asian-Pacific stock markets and concluded that technical trading rules are more profitable in most of the markets except the Nikkei index. Metghalchi, Chang & Marcucci (2008), Metghalchi, Du & Ning (2009), and Chen, Metghalchi & Garza-Gomez (2011 presented that the technical trading rules including directional movement system (DMS) and parabolic stop and reverse (PSAR), can beat the buy and hold strategy in the Swedish market, four Asian stock markets, the Abu Dhabi stock index, and the Danish stock market respectively. The Weak-Form Efficient Market Hypotheses (WFEMH) has been rejected successfully by the profitability of trading rules with a variety of indicators in several relatively developed counties.…”

Technical Trading Rules in Australian Financial Markets

“…A number of studies of technical trading rule profitability have utilised these tests. Some (e.g., Hsu & Kuan, 2005;Metghalchi et al, 2008;Metghalchi et al, 2012) still find evidence of profitability when data snooping is accounted for. Others (e.g., Marshall et al, 2008) find no evidence of profitability.…”