Testing the Weak-Form Market Efficiency of the Euronext Wheat
Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profita...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Editura ASE Bucuresti
2015-03-01
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| Series: | Romanian Economic Journal |
| Subjects: | |
| Online Access: | http://www.rejournal.eu/article/testing-weak-form-market-eficiency-euronext-wheat |
| Summary: | Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profitability of this strategy is then compared with the simple buy and hold strategy. The methodology is then repeated for different sub-samples in order to check the results’ robustness. The results show that the weak-form market efficiency hypothesis cannot be rejected for the wheat case. |
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| ISSN: | 1454-4296 2286-2056 |