It is generally accepted that financial markets behave in a complex and unpredictable way, corroborating the Efficient Market Hypothesis. According to this hypothesis, investors cannot accurately predict future financial returns based on the information available. In this paper, we analyse the...

This paper examines the validity of two classes of simple technical trading rules – moving averages and trading range breaks – in the Australian Stock Exchange. We conduct our empirical analysis in two stages. In the first stage, standard t-tests are used to compare returns generate by the...

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...

This paper reviews the recent developments in the field of the variance-ratio (VR) tests of the random walk and martingale hypothesis. In particular, we present the conventional individual and multiple VR tests as well as their improved modifications based on power-transformed statistics, rank...

The implications of the efficient market hypothesis are important in assessing public policy issues. This paper attempts to examine the weak-form efficiency of the DAX stock market. Five randomly chosen companies and different sub samples are used to confirm the results. The results show that...

It is generally accepted that financial markets behave in a complex and unpredictable way, corroborating the Efficient Market Hypothesis. According to this hypothesis, investors cannot accurately predict future financial returns based on the information available. In this paper, we analyse the...