TRADING RULES ON A SMALL STOCK MARKET
Stefán B. Gunnlaugsson ()
Additional contact information
Stefán B. Gunnlaugsson: Faculty of Business Administration, University of Akureyri, Iceland
Oradea Journal of Business and Economics, 2018, vol. 3, issue 1, 46-55
In this article, the results of an extensive study of the weak form efficiency of the Iceland stock market are presented. This study almost covers the market’s entire history, with the research starting at the beginning of 1993 and ending in July 2017. Four trading rules based on 70-day moving averages were constructed and compared with the passive investment strategy of buying the market index. All of these trading rules provided significantly better returns than the passive strategy, even when considering trading costs. This result indicates that the Icelandic stock market did not show weak form efficiency, and past returns predicted future returns during the period examined.
Keywords: Icelandic stock market; trading rules; weak form efficiency. (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://ojbe.steconomiceuoradea.ro/wp-content/uploa ... OJBE_31_p4_45-55.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ora:jrojbe:v:3:y:2018:i:1:p:46-55
Access Statistics for this article
More articles in Oradea Journal of Business and Economics from University of Oradea, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Tomina SAVEANU ().