메뉴 건너뛰기




Volumn 17, Issue 3, 2008, Pages 475-490

Is the Swedish stock market efficient? Evidence from some simple trading rules

Author keywords

Market efficiency; Reality Check; Swedish stock market; Technical analysis; Trading rules

Indexed keywords


EID: 44349152380     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2007.05.001     Document Type: Article
Times cited : (38)

References (36)
  • 1
    • 0002235761 scopus 로고
    • Price movements in speculative markets: Trends or random walks
    • Alexander S. Price movements in speculative markets: Trends or random walks. Industrial Management Review 2 (1964) 25-46
    • (1964) Industrial Management Review , vol.2 , pp. 25-46
    • Alexander, S.1
  • 3
    • 2942591952 scopus 로고    scopus 로고
    • European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods
    • Aroskar R., Sarka S., and Swanson P. European foreign exchange market efficiency: Evidence based on crisis and noncrisis periods. International Review of Financial Analysis 13 3 (2004) 333-347
    • (2004) International Review of Financial Analysis , vol.13 , Issue.3 , pp. 333-347
    • Aroskar, R.1    Sarka, S.2    Swanson, P.3
  • 4
    • 0000686905 scopus 로고
    • The profitability of technical trading rules in the Asian stock markets
    • Bessembinder H., and Chan K. The profitability of technical trading rules in the Asian stock markets. Pacific-Basin Finance Journal 3 (1995) 257-284
    • (1995) Pacific-Basin Finance Journal , vol.3 , pp. 257-284
    • Bessembinder, H.1    Chan, K.2
  • 5
    • 0032216961 scopus 로고    scopus 로고
    • Market efficiency and returns to technical analysis
    • Bessembinder H., and Chan K. Market efficiency and returns to technical analysis. Financial Management 27 2 (1998) 5-17
    • (1998) Financial Management , vol.27 , Issue.2 , pp. 5-17
    • Bessembinder, H.1    Chan, K.2
  • 6
    • 84977707376 scopus 로고
    • Simple technical trading rules and the stochastic properties of stock returns
    • Brock W., Lakonishok J., and LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 47 (1992) 1731-1764
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.1    Lakonishok, J.2    LeBaron, B.3
  • 7
    • 0041863957 scopus 로고    scopus 로고
    • Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange
    • Buguk C., and Wade B. Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange. International Review of Financial Analysis 12 5 (2003) 579-591
    • (2003) International Review of Financial Analysis , vol.12 , Issue.5 , pp. 579-591
    • Buguk, C.1    Wade, B.2
  • 8
    • 3142687817 scopus 로고    scopus 로고
    • Trading rules and stock returns: Some preliminary short run evidence from the Hang Seng 1985-1997
    • Coutts A., and Cheung K.C. Trading rules and stock returns: Some preliminary short run evidence from the Hang Seng 1985-1997. Applied Financial Economics 10 (2000) 579-686
    • (2000) Applied Financial Economics , vol.10 , pp. 579-686
    • Coutts, A.1    Cheung, K.C.2
  • 9
    • 23444437916 scopus 로고    scopus 로고
    • Is smarter better? A comparison of adaptive, and simple moving average trading strategies
    • Craig A.E., and Parbery S.A. Is smarter better? A comparison of adaptive, and simple moving average trading strategies. Research in International Business and Finance 19 3 (2005) 399-411
    • (2005) Research in International Business and Finance , vol.19 , Issue.3 , pp. 399-411
    • Craig, A.E.1    Parbery, S.A.2
  • 11
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama E. The behavior of stock market prices. Journal of Business 38 (1965) 34-105
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 12
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • Fama E. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25 (1970) 383-417
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.1
  • 13
    • 0001674920 scopus 로고
    • Filter rules and stock market trading profits
    • Fama E., and Blume M. Filter rules and stock market trading profits. Journal of Business 39 (1966) 226-341
    • (1966) Journal of Business , vol.39 , pp. 226-341
    • Fama, E.1    Blume, M.2
  • 14
    • 33749530780 scopus 로고
    • Testing the random walk hypothesis on Swedish stock prices: 1919-1990
    • Frennberg P., and Hansson B. Testing the random walk hypothesis on Swedish stock prices: 1919-1990. Journal of Banking and Finance 17 1 (1993) 175-192
    • (1993) Journal of Banking and Finance , vol.17 , Issue.1 , pp. 175-192
    • Frennberg, P.1    Hansson, B.2
  • 15
    • 17444450744 scopus 로고    scopus 로고
    • The predictability of security returns with simple technical trading rules
    • Gencay R. The predictability of security returns with simple technical trading rules. Journal of Empirical Finance 5 4 (1998) 347-359
    • (1998) Journal of Empirical Finance , vol.5 , Issue.4 , pp. 347-359
    • Gencay, R.1
  • 16
    • 0001390414 scopus 로고    scopus 로고
    • A note on weak form of efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994
    • Hudson R., Dempsey M., and Keasey K. A note on weak form of efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994. Journal of Banking and Finance 20 (1996) 1121-1132
    • (1996) Journal of Banking and Finance , vol.20 , pp. 1121-1132
    • Hudson, R.1    Dempsey, M.2    Keasey, K.3
  • 17
    • 0009371496 scopus 로고
    • Price formation in the Norwegian and Swedish stock market-Some random walk tests
    • Jennergen P., and Korsvold P. Price formation in the Norwegian and Swedish stock market-Some random walk tests. Swedish Journal of Economics 76 2 (1974) 171-185
    • (1974) Swedish Journal of Economics , vol.76 , Issue.2 , pp. 171-185
    • Jennergen, P.1    Korsvold, P.2
  • 18
    • 0030488782 scopus 로고    scopus 로고
    • Estimating the profits from trading strategies
    • Knez P.J., and Ready M. Estimating the profits from trading strategies. Review of Financial Studies 9 (1996) 1121-1164
    • (1996) Review of Financial Studies , vol.9 , pp. 1121-1164
    • Knez, P.J.1    Ready, M.2
  • 19
    • 44349155025 scopus 로고    scopus 로고
    • Kroner, K. (1995). Comments on: Do the profits from technical trading rules reflect inefficiencies? Mimeo (Wells Fargo Nikko Investment Advisors Advanced Strategy Group, San Francisco).
    • Kroner, K. (1995). Comments on: Do the profits from technical trading rules reflect inefficiencies? Mimeo (Wells Fargo Nikko Investment Advisors Advanced Strategy Group, San Francisco).
  • 20
    • 0036723555 scopus 로고    scopus 로고
    • Technical trading strategies and return predictability: NYSE
    • Kwon K., and Kish R. Technical trading strategies and return predictability: NYSE. Applied Financial Economics 12 (2002) 639-653
    • (2002) Applied Financial Economics , vol.12 , pp. 639-653
    • Kwon, K.1    Kish, R.2
  • 21
    • 0000277728 scopus 로고
    • Are seasonal anomalies real: A ninety-year perspective
    • Lakonishok J., and Smidt S. Are seasonal anomalies real: A ninety-year perspective. Review of Financial Studies 1 (1988) 403-425
    • (1988) Review of Financial Studies , vol.1 , pp. 403-425
    • Lakonishok, J.1    Smidt, S.2
  • 22
    • 7544233515 scopus 로고
    • Measurement of random process in futures prices
    • Larson A. Measurement of random process in futures prices. Food Research Institute 1 (1960) 313-324
    • (1960) Food Research Institute , vol.1 , pp. 313-324
    • Larson, A.1
  • 24
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot B. The variation of certain speculative prices. Journal of Business 36 (1963) 394-419
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 25
    • 23444437429 scopus 로고    scopus 로고
    • Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?
    • Marshall B.R. Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?. Research in International Business and Finance 19 3 (2005) 384-398
    • (2005) Research in International Business and Finance , vol.19 , Issue.3 , pp. 384-398
    • Marshall, B.R.1
  • 26
    • 2942625420 scopus 로고    scopus 로고
    • On the source of contrarian and momentum strategies in the Italian equity market
    • Mengoli S. On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis 13 3 (2004) 301-331
    • (2004) International Review of Financial Analysis , vol.13 , Issue.3 , pp. 301-331
    • Mengoli, S.1
  • 27
    • 0002832996 scopus 로고
    • Calendar effects in the London stock exchange FTSE indices
    • Mills T.C., and Coutts J. Calendar effects in the London stock exchange FTSE indices. European Journal of Finance 1 (1995) 79-93
    • (1995) European Journal of Finance , vol.1 , pp. 79-93
    • Mills, T.C.1    Coutts, J.2
  • 28
    • 0000661634 scopus 로고
    • Periodic structure in the Brownian motion of stock prices
    • Osborne M. Periodic structure in the Brownian motion of stock prices. Operations Research 10 (1962) 345-379
    • (1962) Operations Research , vol.10 , pp. 345-379
    • Osborne, M.1
  • 31
    • 0036748380 scopus 로고    scopus 로고
    • Profits from technical trading rules
    • Ready M. Profits from technical trading rules. Financial Management (2002, Autumn) 43-61
    • (2002) Financial Management , pp. 43-61
    • Ready, M.1
  • 33
    • 0005865794 scopus 로고    scopus 로고
    • Data-snooping, technical trading rule performance, and the bootstrap
    • Sullivan R., Timmermann A., and White H. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 54 5 (1999) 1647-1691
    • (1999) Journal of Finance , vol.54 , Issue.5 , pp. 1647-1691
    • Sullivan, R.1    Timmermann, A.2    White, H.3
  • 34
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic inference about predictive ability
    • West K. Asymptotic inference about predictive ability. Econometrica 64 (1996) 1067-1084
    • (1996) Econometrica , vol.64 , pp. 1067-1084
    • West, K.1
  • 35
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White H. A reality check for data snooping. Econometrica 68 (2000) 1097-1126
    • (2000) Econometrica , vol.68 , pp. 1097-1126
    • White, H.1
  • 36
    • 2342501443 scopus 로고    scopus 로고
    • Technical analysis as the representation of typical cognitive biases
    • Zielonka P. Technical analysis as the representation of typical cognitive biases. International Review of Financial Analysis 13 4 (2004) 217-225
    • (2004) International Review of Financial Analysis , vol.13 , Issue.4 , pp. 217-225
    • Zielonka, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.