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Testing the weak form efficiency of emerging colombo stock exchange (CSE) with statistical independence tests and technical trading strategies Fernando Pothupitiyage Narada Damitha Ph.D Student, Central China Normal University, Wuhan, China. Abstract Market efficiency has been test in most of the developed markets by utilizing both statistical tests and technical trading strategies. This study tests the efficiency of emerging Colombo stock exchange (CSE) through independence tests and technical trading strategies. The study use daily market closing prices of All Share Price Index (ASPI) for twenty five years from January 1985 to December 2010. The study employed autocorrelation test and nonparametric run test to examine the statistical independence of the CSE and moving average trading strategies to test the predictability of the market. The results of the independence tests provide evidences on significant serial correlation in daily market returns with their lag returns and confirmed that the CSE is not in weak-form efficient. Under moving average strategies study used variable length and fixed length moving average. The findings further confirm that the technical trading strategies have predictive ability in explaining the performances of CSE. Top Keywords efficiency, independence-tests, moving-average, predictability, technical-trading-strategies. Top | |
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