Testing the Weak-Form Market Eficiency of the Euronext Wheat

Mihai Cristian Dinică and Erica Cristina (Balea) Dinică

Romanian Economic Journal, 2015, vol. 18, issue 55, 25-38

Abstract: Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profitability of this strategy is then compared with the simple buy and hold strategy. The methodology is then repeated for different sub-samples in order to check the results’ robustness. The results show that the weak-form market efficiency hypothesis cannot be rejected for the wheat case.

Keywords: efficient market hypothesis; technical analysis; simple moving average; adaptive market hypothesis (search for similar items in EconPapers)
JEL-codes: G14 G15 G17 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:18:y:2015:i:55:p:25-38

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