Technical Analysis Trading Volume And Market Efficiency Evidence From An Emerging Market

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Ergül N., Antonıous A., Holmes P., Priestley R.

Applied Financial Economics, cilt.7, sa.4, ss.361-365, 1997 (Hakemli Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 7 Sayı: 4
  • Basım Tarihi: 1997
  • Dergi Adı: Applied Financial Economics
  • Derginin Tarandığı İndeksler: IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, DIALNET
  • Sayfa Sayıları: ss.361-365
  • Marmara Üniversitesi Adresli: Evet

Özet

Abstract

In spite of the fact that there is a widespread belief that stock markets are weak-form efficient, technical analysis is a pervasive activity in such markets.  In this paper, we examine the extent to which this apparent paradox can be explained by expanding the assumed information set used by analysts to include the past sequence of volume in addition to the past sequence of prices.  Using a unique data set from an emerging market we demonstrate that for a number of companies in the sample returns appear to conform to the weak-form version of the efficient markets hypothesis.  However, when returns are conditioned on past levels of volume, current returns on over half of these companies exhibit predictability.  This is particularly true for companies which have low trading volumes.

 Keywords:      EMH; Technical Analysis; Volume; Emerging Markets.

 JEL        :         G14; G1; G15.