A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994

被引：116

作者：

Hudson, R ^{[1
]}

Dempsey, M ^{[1
]}

Keasey, K ^{[1
]}

机构：

[1] UNIV LEEDS,SCH BUSINESS & ECON STUDIES,LEEDS LS2 9JT,W YORKSHIRE,ENGLAND

来源：

JOURNAL OF BANKING & FINANCE | 1996年 / 20卷 / 06期

关键词：

efficiency; capital markers; technical rules;

D O I：

10.1016/0378-4266(95)00043-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Brock et al. (1992) found technical trading rules to have predictive ability with regards to the Dow Jones Index. The current paper considers whether this result can be replicated on UK data. The paper also considers whether investors could earn excess returns from technical analysis in a costly trading environment. The paper concludes that although the technical trading rules examined do have predictive ability in terms of UK data, their use would not allow investors to make excess returns in the presence of costly trading.

引用

页码：1121 / 1132

页数：12