eCite Digital Repository
Testing weak form efficiency on the Toronto Stock Exchange
Citation
Alexeev, V and Tapon, F, Testing weak form efficiency on the Toronto Stock Exchange, Journal of Empirical Finance, 18, (4) pp. 661-691. ISSN 0927-5398 (2011) [Refereed Article]
![]() | PDF Not available 1Mb |
Copyright Statement
The definitive version is available at http://www.sciencedirect.com
DOI: doi:10.1016/j.jempfin.2011.05.002
Abstract
In order to test for weak form efficiency in the market a vast pool of individual stocks must be analyzed rather than a stock market index. In this paper, a model-based bootstrap is used to generate a series of simulated trials and a modified chart pattern recognition algorithm is applied to all stocks listed on the Toronto Stock Exchange (TSX). The number of patterns detected in the original price series is compared with the number of patterns found in the
simulated series. By simulating the price path specific time dependencies present in real data are eliminated, making price changes purely random. Patterns, if consistently identified, carry information which adds value to the investment process, however, this informativeness does not guarantee profitability. Conclusions are drawn on the relative efficiency of some sectors of the economy. Although the null hypothesis of weak form efficiency on the TSX cannot be rejected, some sectors of the Canadian economy appear to be less efficient than others. In addition, pattern frequencies appear to be negatively dependent on the two moments of return distributions, variance and kurtosis.
Item Details
Item Type: | Refereed Article |
---|---|
Research Division: | Economics |
Research Group: | Econometrics |
Research Field: | Econometrics not elsewhere classified |
Objective Division: | Economic Framework |
Objective Group: | Macroeconomics |
Objective Field: | Macroeconomics not elsewhere classified |
UTAS Author: | Alexeev, V (Dr Vitali Alexeev) |
ID Code: | 73152 |
Year Published: | 2011 |
Web of Science® Times Cited: | 25 |
Deposited By: | Economics and Finance |
Deposited On: | 2011-09-15 |
Last Modified: | 2017-11-22 |
Downloads: | 1 View Download Statistics |
Repository Staff Only: item control page