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Efficiency Differences Between the S&P 500 and the Tel-Aviv 25 Indices: A Moving Average Comparison

18 Pages Posted: 16 Sep 2003  

Uri Ben-Zion

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management; National Bureau of Economic Research (NBER)

Paul Klein

Ben-Gurion University of the Negev

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics; The University of Pennsylvania - Department of Economics

Joseph Yagil

University of Haifa - Graduate School of Business

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.

Keywords: Technical analysis, Moving Average, Buy and hold policy, Market efficiency

JEL Classification: G14, G15

Suggested Citation

Ben-Zion, Uri and Klein, Paul and Shachmurove, Yochanan and Yagil, Joseph, Efficiency Differences Between the S&P 500 and the Tel-Aviv 25 Indices: A Moving Average Comparison. International Journal of Business, Vol. 8, No. 3, 2003. Available at SSRN: https://ssrn.com/abstract=420243 or http://dx.doi.org/10.2139/ssrn.420243

Uri Ben-Zion

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management ( email )

Haifa 32000
Israel
(972-4) 829-4432 (Phone)
(972-4) 829-5688 (Fax)

Paul Klein

Ben-Gurion University of the Negev

1 Ben-Gurion Blvd
Beer-Sheba 84105, 84105
Israel

Yochanan Shachmurove

City University of New York, CUNY City College of New York - Department of Economics ( email )

160 Convent Avenue
New York, NY 10031
United States
212-650-6202 (Phone)

The University of Pennsylvania - Department of Economics ( email )

160 McNeil Building
3718 Locust Walk
Philadelphia, PA 19104
United States
215-898-1090 (Phone)
215-573-2057 (Fax)

Yosef Yagil (Contact Author)

University of Haifa - Graduate School of Business ( email )

Haifa 31905
Israel
972-4-240085 (Phone)
972-4-240059 (Fax)

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