A Note on Filter Rules and Stock‐Market Trading in New Zealand

David M. Emanuel

The Economic Record, 1980, vol. 56, issue 155, 378-381

Abstract: Using a portfolio of similar risk as a control, this study reveals that the application of various sized filter rules failed to earn abnormal returns on the New Zealand Stock Exchange in the 1967–76 period. The risk‐return relationship is given by the well‐known capital asset pricing model. The results are consistent with capital market efficiency in the ‘weak’ form.

Date: 1980
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