{"title":"Trading Range Breakout Test on Daily Stocks of Indian Markets","authors":"Uttam B Sapate","doi":"10.2139/ssrn.3068852","DOIUrl":null,"url":null,"abstract":"In the financial literature Efficient Market Hypothesis (EMH) has been one of the dominant topics. An implication of weak-form of efficiency/random walk is that the trading rules will not generate economic profits. The purpose of this study is to analyze results of application of trading range breakout (TRB) test on daily stock prices of Indian Markets, thus investigating its efficiency at the weak form level (Fama,1970). The results from the trading rule tests indicated that the technical trading rules do not yield statistically significant forecasting power. It means that forecasting of returns based on trading rules cannot be employed to earn abnormal returns.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3068852","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In the financial literature Efficient Market Hypothesis (EMH) has been one of the dominant topics. An implication of weak-form of efficiency/random walk is that the trading rules will not generate economic profits. The purpose of this study is to analyze results of application of trading range breakout (TRB) test on daily stock prices of Indian Markets, thus investigating its efficiency at the weak form level (Fama,1970). The results from the trading rule tests indicated that the technical trading rules do not yield statistically significant forecasting power. It means that forecasting of returns based on trading rules cannot be employed to earn abnormal returns.
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