A NOTE ON THE WEAK FORM EFFICIENCY OF CAPITAL-MARKETS - THE APPLICATION OF SIMPLE TECHNICAL TRADING RULES TO UK STOCK-PRICES - 1935 TO 1994

Authors
HUDSON R DEMPSEY M KEASEY K
Citation
R. Hudson et al., A NOTE ON THE WEAK FORM EFFICIENCY OF CAPITAL-MARKETS - THE APPLICATION OF SIMPLE TECHNICAL TRADING RULES TO UK STOCK-PRICES - 1935 TO 1994, Journal of banking & finance, 20(6), 1996, pp. 1121-1132
Citations number
6
Categorie Soggetti
Business Finance",Economics
Journal title
Journal of banking & finance → ACNP
ISSN journal
03784266
Volume
20
Issue
6
Year of publication
1996
Pages
1121 - 1132
Database
ISI
SICI code
0378-4266(1996)20:6<1121:ANOTWF>2.0.ZU;2-O
Abstract
Brock et al. (1992) found technical trading rules to have predictive a bility with regards to the Dow Jones Index. The current paper consider s whether this result can be replicated on UK data. The paper also con siders whether investors could earn excess returns from technical anal ysis in a costly trading environment. The paper concludes that althoug h the technical trading rules examined do have predictive ability in t erms of UK data, their use would not allow investors to make excess re turns in the presence of costly trading.