Technical analysis, trading volume and market efficiency: evidence from an emerging market
A. Antoniou,
N. Ergul,
P. Holmes and
Richard Priestley ()
Applied Financial Economics, 1997, vol. 7, issue 4, 361-365
Abstract:
Although there is a widespread belief that stock markets are weak-form efficient, technical analysis is a pervasive activity. The extent is examined to which this apparent paradox can be explained by conditioning the past sequence of prices on the past sequence of volume. A unique data set from an emerging market reveals that, for a number of companies in the sample, returns appear to conform to the weak-form version of the efficient markets hypothesis. However, when returns are conditioned on past levels of volume, current returns on over half of these companies exhibit predictability. This is particularly true from companies with low trading volumes.
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)
Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031097333475 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:7:y:1997:i:4:p:361-365
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/096031097333475
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().