Return Predictability and Market Efficiency: Evidence from the Bulgarian Stock Market

REFERENCES

• Andrada-Félix, J., and F. Fernández-Rodríguez. 2008. “Improving Moving Average Trading Rules with Boosting and Statistical Learning Methods.” Journal of Forecasting 27 (5):433–49. doi:10.1002/for.v27:5.
   Web of Science ®Google Scholar
• Appel, G. 1974. Double Your Money Every Three Years. Brightwaters, NY: Windsor Books.
   Google Scholar
• Balsara, N., J. Chen, and L. Zheng. 2009. “Profiting from a Contrarian Application of Technical Trading Rules in the U.S. Stock Market.” Journal of Asset Management 10:97–123. doi:10.1057/jam.2008.44.
   Google Scholar
• Bessembinder, H., and K. Chan. 1998. “Market Efficiency and the Returns to Technical Analysis.” The Journal of the Financial Management Association 27:5–17. doi:10.2307/3666289.
   Web of Science ®Google Scholar
• Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance 47:1731–64. doi:10.1111/j.1540-6261.1992.tb04681.x.
   Web of Science ®Google Scholar
• Cajueiro, D., and B. Tabak. 2006. “Testing for Predictability in Equity Returns for European Transition Markets.” Economic Systems 30 (1):56–78. doi:10.1016/j.ecosys.2005.09.003.
   Google Scholar
• Chang, Y., M. Metghalchi, and C. Chan. 2006. “Technical Trading Strategies and Cross-National Information Linkage: The Case of Taiwan Stock Market.” Applied Financial Economics 16:731–43. doi:10.1080/09603100500426374.
   Google Scholar
• Chen, C., C. Huang, and H. Lai. 2011. “Data Snooping on Technical Analysis: Evidence from the Taiwan Stock Market.” Review of Pacific Basin Financial Markets and Policies 14 (2):195–212. doi:10.1142/S0219091511002238.
   Google Scholar
• Chen, K., and X. Li. 2006. “Is Technical Analysis Useful for Stock Traders in China? Evidence from the SZSE Component A-Share Index.” Pacific Economic Review 11:477–88. doi:10.1111/per.2006.11.issue-4.
   Web of Science ®Google Scholar
• Chong, T., S. Cheng, and E. Wong. 2010. “Comparison of Stock Market Efficiency of the BRIC Countries.” Technology and Investment 1:235–38. doi:10.4236/ti.2010.14029.
   Google Scholar
• Chong, T., and W. Ng. 2008. “Technical Analysis and the London Stock Exchange: Testing the MACD and RSI Rules Using the FT30.” Applied Economics Letters 15:1111–14. doi:10.1080/13504850600993598.
   Web of Science ®Google Scholar
• Creamer, G., and Y. Freund. 2010. “Automated Trading with Boosting and Expert Weighting.” Quantitative Finance 10:401–20. doi:10.1080/14697680903104113.
   Web of Science ®Google Scholar
• Dbouk, W., I. Jamali, and K. Soufani. 2014. “”The Effectiveness of Technical Trading for Arab Stocks.”.” Emerging Markets Finance & Trade 50 (4):5–25. doi:10.2753/REE1540-496X500401.
   Web of Science ®Google Scholar
• Domowitz, I., J. Glen, and A. Madhaven. 2001. “Liquidity, Volatility, and Equity Trading Costs across Countries and over Time.” International Finance 4:221–55. doi:10.1111/1468-2362.00072.
   Google Scholar
• Dourra, H., and P. Siy. 2002. “Investment Using Technical Analysis and Fuzzy Logic.” Fuzzy Sets and Systems 127 (2):221–40. doi:10.1016/S0165-0114(01)00169-5.
   Web of Science ®Google Scholar
• Dragota, V., and E. Tilica. 2014. “Market Efficiency of the Post Communist East European Stock Markets.” Central European Journal of Operations Research 22 (2):307–37. doi:10.1007/s10100-013-0315-6.
   Web of Science ®Google Scholar
• Draper, P., and K. Paudyal. 1997. “Microstructure and Seasonality in the UK Equity Market.” Journal of Business Finance and Accounting 24:1177–204. doi:10.1111/1468-5957.00158.
   Google Scholar
• Dunis, C., and Y. Chen. 2005. “Alternative Relative Models for Risk Management and Trading: An Application to the EUR/USD and UDS/JPY Rates.” Derivatives Use, Trading & Regulations 11:126–56. doi:10.1057/palgrave.dutr.1840013.
   Google Scholar
• Dyakova, A., and S. Graham. 2013. “The Evolution of Stock Market Predictability in Bulgaria.” Applied Financial Economics 23 (9):805–16. doi:10.1080/09603107.2013.767976.
   Google Scholar
• Economou, F., K. Gavriilidis, V. Kallinterakis, and N. Yordanov. 2015. “Do Fund Managers Herd in Frontier Markets – And Why?” International Review of Financial Analysis 40:76–87. doi:10.1016/j.irfa.2015.03.017.
   Web of Science ®Google Scholar
• Edwards, R., and J. Magee. 1948. Technical Analysis of Stock Trends, 1st ed. Chicago, IL: Stock Trend Service.
   Google Scholar
• Edwards, R., J. Magee, and W. Bassetti. 2007. Technical Analysis of Stock Trends, 9th ed. Boca Rotan, FL: St. Lucie Press.
   Google Scholar
• Emerson, R., S. Hall, and A. Zalewska-Mitura. 1997. “Evolving Market Efficiency with an Application to Some Bulgarian Shares.” Economics of Planning 30 (2):75–90. doi:10.1023/A:1003053807165.
   Google Scholar
• Faber, B. 1994. “The Rate of Change Indicator.” Stocks & Commodities. 12 (10):403–405.
   Google Scholar
• Fang, J., B. Jacobsen, and Y. Qin. 2014. “Predictability of the Simple Technical Trading Rules: An Out-Of-Sample Test.” Review of Financial Economics 23 (1):30–45. doi:10.1016/j.rfe.2013.05.004.
   Google Scholar
• Gerristen, F. 2015. “Are Chartists Artists? the Determinants and Profitability of Recommendation Based on Technical Analysis.” International Review of Financial Analysis 47:179–96.
   Web of Science ®Google Scholar
• Guidi, F., R. Gupta, and S. Maheshwari. 2011. “Weak-Form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets.” Journal of Emerging Market Finance 10 (3):337–89. doi:10.1177/097265271101000304.
   Google Scholar
• Heng, P., and S. Niblock. 2014. “Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures.” International Economic Journal 28 (4):679–92. doi:10.1080/10168737.2014.928895.
   Google Scholar
• Himmelmann, A., D. Schiereck, M. Simpson, and M. Zschoche. 2012. “Long-Term Reactions to Large Stock Price Declines and Increases in the European Stock Market: A Note on Market Efficiency.” Journal of Economics and Finance 36:400–23. doi:10.1007/s12197-010-9125-z.
   Google Scholar
• Hsu, P., and C. Kuan. 2005. “Re-Examining the Profitability of Technical Analysis with White’s Reality Check.” Journal of Financial Econometric 3 (4):606–28. doi:10.1093/jjfinec/nbi026.
   Google Scholar
• Ivanov, I., B. Lomev, and B. Bogdanov. 2012. “Investigation of the Market Efficiency of Emerging Stock Markets in the East-European Region.” International Journal of Applied Operational Research 2 (2):13–24.
   Google Scholar
• Kirkpatrick, C., II, and J. Dahlquist. 2011. Technical Analysis: The Complete Resource for Financial Market Technicians, 2nd ed. Upper Saddle River, NJ: Pearson Education, Inc.
   Google Scholar
• Kwon, K., and R. Kish. 2002. “Technical Trading Strategies and Return Predictability: NYSE.” Applied Financial Economics 12 (9):639–53. doi:10.1080/09603100010016139.
   Google Scholar
• Lee, C., and J. Tzeng. 2013. “Trend-Oriented Training for Neural Networks to Forecast Stock Markets.” Asia Pacific Management Review 18 (2):181–95.
   Google Scholar
• Lento, C. 2007. “Tests of Technical Trading Rules in the Asian-Pacific Equity Markets: A Bootstrap Approach.” Academy of Accounting & Financial Studies Journal 11 (2):51–73.
   Google Scholar
• Lesmond, D., M. Schill, and C. Zhou. 2004. “The Illusory Nature of Momentum Profits.” Journal of Financial Economics 71:349–80. doi:10.1016/S0304-405X(03)00206-X.
   Web of Science ®Google Scholar
• Loh, E. 2007. “An Alternative Test for Weak Form Efficiency Based on Technical Analysis.” Applied Financial Economics 17:1003–12. doi:10.1080/09603100600749352.
   Google Scholar
• Lucke, B. 2002. “Are Technical Trading Rules Profitable? Evidence for Head-and-Shoulder Rules.” Applied Economics 35:33–40. doi:10.1080/00036840210150884.
   Web of Science ®Google Scholar
• Lukac, L., B. Brorsen, and S. Irwin. 1988. “A Test of Futures Market Disequilibrium Using Twelve Different Technical Trading Systems.” Applied Economics 20:623–39. doi:10.1080/00036848800000113.
   Web of Science ®Google Scholar
• Marshall, B., and R. Cahan. 2005. “Is Technical Analysis Profitable on Stock Market Which Has Characteristics that Suggest It May Be Inefficient?” Research in International Business and Finance 20:84–398.
   Google Scholar
• Metghalchi, J., C. Chen, and L. Hayes. 2015. “History of Share Prices and Market Efficiency of the Madrid General Stock Index.” International Review of Financial Analysis 40:178–84. doi:10.1016/j.irfa.2015.05.016.
   Web of Science ®Google Scholar
• Metghalchi, M., Y. Chang, and Y. Marcucci. 2008. “Is the Swedish Stock Market Efficient? Evidence from Some Simple Trading Rules.” International Review of Financial Analysis 17:475–90. doi:10.1016/j.irfa.2007.05.001.
   Google Scholar
• Metghalchi, M., Y. Chang, and Y. Marcucci. 2012. “Are Moving Average Trading Rules Profitable? Evidence from the European Stock Markets.” Applied Economic 12:1539–59. doi:10.1080/00036846.2010.543084.
   Web of Science ®Google Scholar
• Metghalchi, M., J. Du, and Y. Ning. 2009. “Validation of Moving Average Trading Rules: Evidence from Hong Kong, Singapore, South Korea, Taiwan.” Multinational Business Review 17 (3):101–22. doi:10.1108/1525383X200900019.
   Google Scholar
• Metghalchi, M., A. Pinho, and A. Sarmento. 2014. “The Efficiency of Emerging Capital Markets: The Case of Poland.” The Journal of Prediction Markets 8:26–41.
   Google Scholar
• Milionis, A., and E. Papanagiotou. 2011. “ATest of Significance of the Predictive Power of the Moving Average Trading Rule of Technical Analysis Based on Sensitivity Analysis: Application to the NYSE, the Athens Stock Exchange and the Vienna Stock Exchange. Implications for Weak-Form Market.” Applied Financial Economics 21 (6):421–36. doi:10.1080/09603107.2010.532105.
   Google Scholar
• Mills, T., and J. Coutts. 1995. “Calendar Effects in the London Stock Exchange FT-SE Indices.” European Journal of Finance 1:79–93. doi:10.1080/13518479500000010.
   Google Scholar
• Mitra, S. 2011. “Usefulness of Moving Average Based Trading Rules in India.” International Journal of Business and Management 6 (7):199–206. doi:10.5539/ijbm.v6n7p199.
   Google Scholar
• Neely, C., and P. Weller. 2011. “Technical Analysis in the Foreign Exchange Market.” Federal Reserve Bank of St. Louis, Working Paper 2011-001B. St. Louis, Mo., USA: Federal Reserve Bank of St. Louis.
   Google Scholar
• Nurunnabi, M. 2012. “Testing Weak-Form Efficiency of Emerging Economies: A Critical Review of Literature.” Journal of Business Economics and Management 13 (1):167–88. doi:10.3846/16111699.2011.620140.
   Web of Science ®Google Scholar
• Park, C., and S. Irwin. 2007. “What Do We Know about the Profitability of Technical Analysis?” Journal of Economic Surveys 21:786–826. doi:10.1111/joes.2007.21.issue-4.
   Web of Science ®Google Scholar
• Pätäri, E., and M. Vilska. 2014. “Performance of Moving Average Trading Strategies over Varying Stock Market Conditions: The Finnish Evidence.” Applied Economics 46 (24):p2851–2872. doi:10.1080/00036846.2014.914145.
   Web of Science ®Google Scholar
• Pring, M. 1991. Technical Analysis: Explained. New York, NY: McGraw-Hill Co.
   Google Scholar
• Ready, M. 2002. “Profits from Technical Trading Rules.” Financial Management 31:43–61. doi:10.2307/3666314.
   Web of Science ®Google Scholar
• Rosca, O. 2017. “Bulgaria’s Capital Markets ‘Promising’, EBRD Says.” European Bank for Reconstruction and Development. Accessed September 24, 2018. https://www.ebrd.com/news/2017/bulgarias-capital-markets-promising-ebrd-says-.html.
   Google Scholar
• Schabacker, R. 1930. Stock Market Theory and Practice. New York, NY: B.C. Forbes Publishing Co.
   Google Scholar
• Schulmeister, S. 2009. “Profitability of Technical Stock Trading: Has It Moved from Daily to Intraday Data?” Review of Financial Economics 18:190–201. doi:10.1016/j.rfe.2008.10.001.
   Google Scholar
• Shamsuddin, A., and J. Kim. 2010. “Short-Horizon Return Predictability in International Equity Markets.” The Financial Review 45:469–84. doi:10.1111/(ISSN)1540-6288.
   Google Scholar
• Shynkevich, A. 2016. “Predictability of Equity Returns during Financial Crisis.” Applied Economics Letters 23 (17):1201–205. doi:10.1080/13504851.2016.1145339.
   Web of Science ®Google Scholar
• Shynkevich, A. 2017. “Return Predictability in Emerging Equity Market Sectors.” Applied Economics 49 (5):433–45. doi:10.1080/00036846.2016.1200182.
   Web of Science ®Google Scholar
• Stocks & Commodities V. 1992. “Sidebar: Calculating a Rate of Change Oscillator.” Technical Analysis of Stocks & Commodities, 10 (2):55–60. http://store.traders.com/ind.html
   Google Scholar
• Sweeney, R. 1986. “Beating the Foreign Exchange Market.” Journal of Finance 41:163–82. doi:10.1111/j.1540-6261.1986.tb04497.x.
   Web of Science ®Google Scholar
• Taylor, S. 2000. “Stock Index and Price Dynamics in the UK and US: New Evidence from Trading Rules and Statistical Analysis.” European Journal of Finance 6:39–69. doi:10.1080/135184700336955.
   Google Scholar
• Thapa, C., and S. Poshakwale. 2010. “International Equity Portfolio Allocations and Transaction Costs.” Journal of Banking and Finance 34:2627–38. doi:10.1016/j.jbankfin.2010.05.004.
   Web of Science ®Google Scholar
• Ülkü, N., and E. Prodan. 2013. “Drivers of Technical Trend-Following Rules’ Profitability in World Stock Markets.” International Review of Financial Analysis 30:214–29. doi:10.1016/j.irfa.2013.08.005.
   Web of Science ®Google Scholar
• Wilder, W. 1978. New Concepts in Technical Analysis. McLeansville, NC: Trend Research.
   Google Scholar
• Yu, H., G. Nartea, C. Gan, and L. Yao. 2013. “Predictive Ability and Profitability of Simple Technical Trading Rules: Recent Evidence from Southeast Asian Stock Markets.” International Review of Economics and Finance 25:356–71. doi:10.1016/j.iref.2012.07.016.
   Web of Science ®Google Scholar
• Zhou, Y., and G. Zhou. 2009. “Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages.” Journal of Financial Economics 92:519–44. doi:10.1016/j.jfineco.2008.07.002.
   Web of Science ®Google Scholar