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Efficiency Differences Between the S&P 500 and the Tel-Aviv 25 Indices: A Moving Average ComparisonUri Ben-ZionTechnion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management; National Bureau of Economic Research (NBER) Paul KleinBen-Gurion University of the Negev Yochanan ShachmuroveThe City College of The City University of New York - Department of Economics; The University of Pennsylvania - Department of Economics Joseph YagilUniversity of Haifa - Graduate School of Business International Journal of Business, Vol. 8, No. 3, 2003 Abstract: This paper compares the Tel-Aviv Stock Exchange (TASE) 25 Index (TA25) to the S&P 500 Index with respect to the extent that the Technical Analysis method of moving average can beat the buy-and-hold policy. Previous research on the S&P 500 Index is inconclusive, while TA25 has never been tested in this respect. For 1,500 daily observations, our test results imply weak-form efficiency of the S&P 500 Index. For TA25, no market efficiency is found for relatively short moving averages. The results imply that market efficiency is higher in developed financial markets than in an emerging capital market, such as the TASE.
Number of Pages in PDF File: 18 Keywords: Technical analysis, Moving Average, Buy and hold policy, Market efficiency JEL Classification: G14, G15 Accepted Paper SeriesDate posted: September 16, 2003Suggested CitationContact Information
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