An analysis of trading strategies in eleven European stock markets

    Research output: Contribution to journalArticle

    28 Citations (Scopus)

    Abstract

    In recent years, the validity of the weak form efficient market hypothesis (EMH) has been called into question as several studies have uncovered evidence that technical trading rules have predictive ability with respect to both developed and emerging stock market indices. This study analyses the forecasting power of 2 of the most popular trading rules using index data for a selection of 11 European stock markets over the January 1991 to December 2000 period. The findings indicate that the emerging markets included in this paper are informationally inefficient; these markets displayed some degree of predictability in their share returns, although the developed markets did not. Furthermore, the results point to large differences in the performance of the rules examined; while small size filters consistently outperformed the buy-and-hold strategy in the emerging markets examined even after the consideration of transaction costs, the performance of the moving average rules was erratic and varied dramatically from market to market.
    Original languageEnglish
    Pages (from-to)531-548
    Number of pages18
    JournalEuropean Journal of Finance
    Volume11
    Issue number6
    DOIs
    Publication statusPublished - 2005

    Fingerprint

    European stock markets
    Trading strategies
    Emerging markets
    Emerging stock markets
    Filter
    Predictability
    Efficient market hypothesis
    Moving average
    Transaction costs
    Trading rules
    Predictive ability
    Stock market index
    Technical trading rules

    Keywords

    • Trading rules
    • Stock markets
    • Market efficiency
    • Europe

    Cite this

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    title = "An analysis of trading strategies in eleven European stock markets",
    abstract = "In recent years, the validity of the weak form efficient market hypothesis (EMH) has been called into question as several studies have uncovered evidence that technical trading rules have predictive ability with respect to both developed and emerging stock market indices. This study analyses the forecasting power of 2 of the most popular trading rules using index data for a selection of 11 European stock markets over the January 1991 to December 2000 period. The findings indicate that the emerging markets included in this paper are informationally inefficient; these markets displayed some degree of predictability in their share returns, although the developed markets did not. Furthermore, the results point to large differences in the performance of the rules examined; while small size filters consistently outperformed the buy-and-hold strategy in the emerging markets examined even after the consideration of transaction costs, the performance of the moving average rules was erratic and varied dramatically from market to market.",
    keywords = "Trading rules, Stock markets, Market efficiency, Europe",
    author = "Fifield, {Suzanne G. M.} and Power, {David M.} and Sinclair, {C. Donald}",
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    An analysis of trading strategies in eleven European stock markets. / Fifield, Suzanne G. M.; Power, David M.; Sinclair, C. Donald.

    In: European Journal of Finance, Vol. 11, No. 6, 2005, p. 531-548.

    Research output: Contribution to journalArticle

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