Abstract
This study incorporates Australian All Ordinaries Share Price Index time series data over the period 1987–1991, and firstly considers the ability of technical trading systems to generate returns greater than a Buy-Hold control. Secondly it aims to test for the weak-form efficiency of the Australian Share Market. Efficiency is considered in both the statistical context and in terms of the trading system's net returns. Statistical test results provide the Australian share market to be weak-form efficient. In confirmation of this result, none of the trading systems employed were able to earn a return greater to the Buy-Hold control strategy once transactions costs were taken into consideration.
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Additional information
The authors are Senior Lecturer and Associate Lecturer respectively, at the Department of Economics and Finance, University of Western Sydney — Macarthur, P.O. Box 555, Campbelltown, NSW 2560, fax: 61-46-266683. The authors would like to gratefully acknowledge the valuable comments received from M. Aiken and participants at the Third International Conference on Asian-Pacific Financial Markets.
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Batten, J., Ellis, C. Technical trading system performance in the Australian share market: Some empirical evidence. Asia Pacific J Manage 13, 87–99 (1996). https://doi.org/10.1007/BF01739683
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DOI: https://doi.org/10.1007/BF01739683