THE PERFORMANCE OF FILTER RULES ON THE JAMAICAN STOCK-EXCHANGE

Authors
HUNTER DM
Citation
Dm. Hunter, THE PERFORMANCE OF FILTER RULES ON THE JAMAICAN STOCK-EXCHANGE, Applied economics letters, 5(5), 1998, pp. 297-300
Citations number
12
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
5
Issue
5
Year of publication
1998
Pages
297 - 300
Database
ISI
SICI code
1350-4851(1998)5:5<297:TPOFRO>2.0.ZU;2-F
Abstract
A filter test of the daily returns over the period 1989 to 1994 is emp loyed to determine the efficiency of the market. The main result is th at the naive 'buy and hold' investment strategy generally outperformed the more active trading strategies. This is surprising in light of pr evious test which indicated that the market is inefficient. Generally the larger filters generated greater terminal wealth.