TECHNICAL TRADING STRATEGIES AND WEAK FORM MARKET EFFICIENCY

Resource type
Thesis type
(Research Project) M.B.A.
Date created
2010-09-02
Authors/Contributors
Author: Bey, Michael
Abstract
This paper expands on the work of Brock, Lakonishok, and LeBaron (1992) that studies whether a simple trading rule derived from technical analysis can outperform a ?buy-and-hold? investment strategy. Their results provided statistically significant support for a technical trading strategy. This paper extends their technical strategy to a different and more recent data set to test the robustness of the trading rule. This paper finds that the technical trading rules studied by Brock et al. have lost some of their predictive power in recent years due a loss of statistical significance. The loss of statistical significance is likely precipitated by an increase in volatility.
Document
Description
Research Project (M.B.A.) - Simon Fraser University

Keywords

Copyright statement
Copyright is held by the author.
Scholarly level
Supervisor or Senior Supervisor
Thesis advisor: Grauer, Robert
Language
English
Download file Size
GAWM 2008, Bey, M..pdf 230 KB

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