Efficiency Differences between the S&P 500 and the Tel-Aviv 25 Indices : A Moving Average Comparison

This paper compares the Tel-Aviv Stock Exchange (TASE) 25 Index (TA25) to the Samp;P 500 Index with respect to the extent that the Technical Analysis method of moving average can beat the buy-and-hold policy. Previous research on the Samp;P 500 Index is inconclusive, while TA25 has never been tested in this respect. For 1,500 daily observations, our test results imply weak-form efficiency of the Samp;P 500 Index. For TA25, no market efficiency is found for relatively short moving averages. The results imply that market efficiency is higher in developed financial markets than in an emerging capital market, such as the TASE