Test of Global Market Efficiency, Through Momentum, Oscillation, and Relative Strength Index Strategies

This paper tests the weak-form global market efficiency, by comparing the returns of technical trading strategies to the returns of buy-and-hold strategies on 24 country indexes and 1 world index. The technical trading strategies examined in this paper include static and dynamic momentum approaches, oscillation strategy, and Relative Strength Index strategy. Empirical testing suggests that it is possible for the trading strategies to sigruficantly outperform the buy-and-hold strategy in some country indexes and even the world index. However, no excessive profits are extracted in United States and Germany from all the technical trading strategies, noting that these countries are weak-form efficient in the context of this paper. Furthermore, the techrucal trading strategies do not work well during extreme expansionary periods, but they are useful in filtering losses during recessionary periods.