Technical trading system performance in the Australian share market

Some empirical evidence

Jonathan Batten*, Craig Ellis

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)87-99
Number of pages13
JournalAsia Pacific Journal of Management
Volume13
Issue number1
Publication statusPublished - 1996

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