Testing the Weak-Form Market Efficiency of the Euronext Wheat

• Main Authors: Mihai Cristian Dinică, Erica Cristina Dinică (Balea)
• Format: Article
• Language: English
• Published: Editura ASE Bucuresti 2015-03-01
• Series: Romanian Economic Journal
• Subjects: efficient market hypothesis; technical analysis; simple moving average; adaptive market hypothesis
• Online Access: http://www.rejournal.eu/article/testing-weak-form-market-eficiency-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 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.