A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994 |
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| Institution: | 1. University of Munich, Germany;2. CESifo, Germany;3. Simon Fraser University, Canada;1. Software Engineering Group, University of Siegen, Germany;2. Department of Informatics, Aristotle University of Thessaloniki, Greece;3. Department of Electronics, Informatics and Bioengineering, Politecnico di Milano, Italy |
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| Abstract: | 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. |
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