Weak-Form Market Efficiency: Evidence from the Brazilian Stock Market

Chien-Ping Chen, Massoud Metghalchi

Abstract


We investigate the predictive power of various trading rules with different combinations of the most popular indicators in technical analysis for the Brazilian stock index (BOVESPA) over the period of 5/1/1996 to 3/1/2011, or 14.83 years. The empirical results show that all the buy-sell differences under single, double and triple-indicator combinations are insignificant in t-test; that is, technical trading models cannot beat the buy and hold strategy. Although few multiple-indicator trading models show profitability, their predictive power is eliminated after considering the possible interest earning from money market in the days out of stock market. The results support strongly the weak form of market efficiency for the Brazilian stock market.


Full Text: PDF DOI: 10.5539/ijef.v4n7p22

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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