Filter Tests in Nasdaq Stocks

Posted: 30 Dec 1998  

Andrew Szakmary

Southern Illinois University at Carbondale

Wallace N. Davidson III

Southern Illinois University at Carbondale - Department of Finance

Thomas V. Schwarz

Southern Illinois University at Carbondale

Abstract

This study examines the performance of filter and dual moving-average crossover trading rules applied to Nasdaq stocks. We find that trading rules conditioned on a stock?s past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormal returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks.

JEL Classification: G12, G14

Suggested Citation

Szakmary, Andrew and Davidson, Wallace N. and Schwarz, Thomas V., Filter Tests in Nasdaq Stocks. Financial Review, February 1999. Available at SSRN: https://ssrn.com/abstract=142153

Andrew Szakmary (Contact Author)

Southern Illinois University at Carbondale ( email )

Rehn Hall - Mail Code 4626
Carbondale, IL 62901-4515
United States
618-453-2459 (Phone)
618-453-5626 (Fax)

Wallace N. Davidson III

Southern Illinois University at Carbondale - Department of Finance ( email )

Mail Code 4626
Carbondale, IL 62901-4626
United States
618-453-1429 (Phone)
618-453-5626 (Fax)

Thomas V. Schwarz

Southern Illinois University at Carbondale

Carbondale, IL 62901
United States

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