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Evidence that weak-form capital market efficiency does not hold

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dc.contributor.advisor Kruger, Jan Maasdorp, Denys Baillie 2017-09-19T05:31:02Z 2017-09-19T05:31:02Z 2015-02
dc.identifier.citation Maasdorp, Denys Baillie (2015) Evidence that weak-form capital market efficiency does not hold, University of South Africa, Pretoria, <>
dc.description.abstract It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. en
dc.format.extent 1 online resource (149 pages) : color illustrations
dc.language.iso en en
dc.subject Efficient market hypothesis en
dc.subject Weak-form market efficiency en
dc.subject Technical analysis en
dc.subject Charting en
dc.subject Qualitative technical analysis en
dc.subject Quantitative mechanical rules en
dc.subject Intermarket analysis en
dc.subject.ddc 332.63222
dc.subject.lcsh Stocks -- Prices en
dc.subject.lcsh Securities -- Prices en
dc.subject.lcsh Capital market en
dc.subject.lcsh Monetary policy en
dc.title Evidence that weak-form capital market efficiency does not hold en
dc.type Thesis en
dc.description.department Business Management en D.B.L.

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