A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets

Alexandros E. Milionis () and Evangelia Papanagiotou
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Alexandros E. Milionis: Bank of Greece and University of the Aegean

No 91, Working Papers from Bank of Greece

Abstract: This work focuses on the sensitivity of the performance of the moving average (MA) trading rule of technical analysis to changes in the MA length employed. Empirical analysis of daily data from NYSE, the Vienna Stock Exchange (VSE) and the Athens Stock Exchange (ASE) reveal high variability of the performance of the MA trading rule as a function of the MA length for all these markets, a result that weakens the conclusions of previous works, regarding the validity of the hypothesis of weak form market efficiency. Further, the trading rule is found to have predictive power in ASE and VSE, but not in NYSE.

Keywords: Efficiency of Capital Markets; Technical Analysis Trading Rules with Moving Averages; Athens Stock Exchange; New York Stock Exchange; Vienna Stock Exchange. (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-10
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Citations: View citations in EconPapers (3)

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