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. / Business Management / D.B.L.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:unisa/oai:uir.unisa.ac.za:10500/23175 |
| Date | 02 1900 |
| Creators | Maasdorp, Denys Baillie |
| Contributors | Kruger, Jan |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | 1 online resource (149 pages) : color illustrations |
Page generated in 0.0082 seconds