文章基本信息

标题：Market Efficiency For S&P 500: 1954-2004
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作者：Massoud Metghalchi ; Xavier Garza-Gomez ; Chien-Ping Chen 等
期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2011
卷号：4
期号：7
语种：English
出版社：The Clute Institute for Academic Research
摘要：This paper tests three moving average technical trading rules for the S&P 500 stock index. Using daily data from 1954 to 2004, our results indicate that moving average rules did indeed had predictive power and could discern recurring-price patterns for the period up to mid 1980s. However, since mid 1980s, technical trading rules do not work and could not discern recurring-price patterns. Our results are consistent with market inefficiency from 1954 to 1984 and market efficiency from 1984 to present.