Type I error of t-tests from the simple moving average technical trading rules

Louie Ren () and Peter Ren ()
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Louie Ren: University of Houston-Victoria, TX, USA
Peter Ren: University of Houston-Downtown, Houston, TX, USA

Applied Econometrics, 2021, vol. 61, 47-61

Abstract: Numerous studies have demonstrated the inefficiency of the market via applications of t-tests on returns from Buy and Sell Days. In this study, we highlight large type I errors associated with the tests and show that it is inappropriate to use t-tests on returns from Buy and Sell Days to support market inefficiency.

Keywords: efficient market; moving average trading rules; t-tests; type I error (search for similar items in EconPapers)
JEL-codes: C10 G00 (search for similar items in EconPapers)
Date: 2021
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