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

Massoud Metghalchi, Yung-Ho Chang and Juri Marcucci

International Review of Financial Analysis, 2008, vol. 17, issue 3, 475-490

Abstract: In this paper we examine the profitability of some technical trading rules in the Swedish stock market over the 1986-2004 periods. The results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading, even after accounting for the effects of data snooping biases. To assess the profitability of different technical trading rules and strategies, we adopt White's [White, H. (2000). A Reality Check for data snooping, Econometrica, 68, 1097-1126.] Reality Check test that quantifies the data snooping bias adjusting for its effects. Our results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy even considering transaction costs.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:3:p:475-490

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