1,523
Views
49
CrossRef citations to date
0
Altmetric
Original Articles

An analysis of trading strategies in eleven European stock markets

, &
Pages 531-548 | Published online: 17 Feb 2007

References

  • Alexander , S. S. 1961 . Price movements in speculative markets: trends or random walks . Industrial Management Review , 2 ( 2 ) : 7 – 26 .
  • Alexander , S. S. 1964 . “ Price movements in speculative markets: trends or random walks No. 2 ” . In The Random Character of Stock Market Prices , Edited by: Cootner , P. H. 338 – 372 . Cambridge, MA : MIT Press .
  • Ball , R. 1980 . “ Filter rules: interpretation of market efficiency, experimental problems and Australian evidence ” . In Share Markets and Portfolio Theory: Readings and Australian Evidence , Edited by: Ball , R. , Brown , P. , Finn , F. J. and Officer , R. R. 131 – 143 . University of Queensland Press .
  • Bessembinder , H. and Chan , K. 1995 . The profitability of technical trading rules in the Asian stock markets . Pacific-Basin Finance Journal , 3 : 257 – 284 .
  • Bessembinder , H. and Chan , K. 1998 . Market efficiency and the returns to technical analysis . Financial Management , 27 ( 2 ) : 5 – 17 .
  • Brock , W. , Lakonishok , J. and LeBaron , B. 1992 . Simple technical trading rules and the stochastic properties of stock returns . Journal of Finance , 47 : 1731 – 1764 .
  • Coutts , J. A. and Cheung , K. 2000 . Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985–1997 . Applied Financial Economics , 10 : 579 – 586 .
  • Domowitz , I. , Glen , J. and Madhaven , A. 2000 . Liquidity, volatility, and equity trading costs across countries and over times . William Davidson Institute Working Paper Series No. 322, William Davidson Institute at the University of Michigan Business School, March 2000
  • Dryden , M. M. 1970 . A statistical study of UK share prices . Scottish Journal of Political Economy , 17 : 369 – 389 .
  • Elton , E. J. and Gruber , M. J. 1991 . Modern Portfolio Theory and Investment Analysis, , 4th edn. , John Wiley and Sons, Inc .
  • Fama , E. F. 1970 . Efficient capital markets: a review of theory and empirical work . Journal of Finance , 25 : 382 – 417 .
  • Fama , E. F. and Blume , M. E. 1966 . Filter rules and stock market trading . Journal of Business , 39 : 226 – 241 .
  • Financial Times . 1998 . Euro Euphoria Buoys Lisbon . 52 2 April
  • Financial Times . 1999a . Lisbon Develops Identity Crisis . 44 11 May
  • Financial Times . 1999b . Portugal, Annual Country Report . 30 November
  • Financial Times . 2001a . Greek Banking and Finance Survey . 9 July IV
  • Financial Times . 2001b . Athens Falls as Socialists Dither . 38 13 July
  • Gunasekarage , A. and Power , D. M. 2001 . The application of simple technical trading rules in markets with short price histories: evidence on South Asian capital markets . Emerging Markets Review , 2 : 17 – 33 .
  • Huang , Y. 1995 . The trading performance of filter rules on the Taiwan stock exchange . Applied Financial Economics , 5 : 391 – 395 .
  • Hudson , R. , Dempsey , M. and Keasey , K. 1996 . A note on the weak form efficiency of capital markets: the application of simple technical trading rules to UK stock prices—1935 to 1994 . Journal of Banking and Finance , 20 : 1121 – 1132 .
  • Hunter , D. M. 1998 . The performance of filter rules on the Jamaican stock exchange . Applied Economics Letters , 5 : 297 – 300 .
  • James , F. E. Jr . 1968 . Monthly moving averages—an effective investment tool? . Journal of Financial and Quantitative Analysis , 3 : 315 – 326 .
  • Jennergren , L. P. 1975 . “ Filter tests of Swedish share prices ” . In International Capital Markets , Edited by: Elton , E. J. and Gruber , M. J. 55 – 67 . North-Holland/American Elsevier .
  • Jennergren , L. P. and Korsvold , P. 1975 . “ The non-random character of Norwegian and Swedish stock market prices ” . In International Capital Markets , Edited by: Elton , E. J. and Gruber , M. J. 37 – 54 . North-Holland/American Elsevier .
  • Levy , R. A. 1967a . Random walks: reality or myth . Financial Analysts Journal , 23 : 69 – 77 .
  • Levy , R. A. 1967b . Relative strength as a criterion for investment selection . Journal of Finance , 22 : 595 – 610 .
  • Parisi , F. and Vasquez , A. 2000 . Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile . Emerging Markets Review , 1 ( 2 ) : 152 – 164 .
  • Ratner , M. and Leal , R. 1999 . Tests of technical trading strategies in the emerging markets of Latin America and Asia . Journal of Banking and Finance , 23 : 1887 – 1905 .
  • Seelenfreud , A. G. , Van Horne , J. C. , James , C. and Parker , G. G.C. 1968 . Stock price behaviour and trading . Journal of Financial and Quantitative Analysis , 3 : 315 – 326 .
  • Sweeney , R. J. 1988 . Some new filter rule tests: methods and results . Journal of Financial and Quantitative Analysis , 23 : 285 – 300 .
  • Sweeney , R. J. 1990 . Evidence on short-term trading strategies . Journal of Portfolio Management , 17, Fall : 20 – 26 .
  • Van Horne , J. C. and Parker , G. G.C. 1967 . The random walk theory: an empirical test . Financial Analysts Journal , 23 : 87 – 92 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.