Market Efficiency and Technical Analysis in Romania
关键词: Econometrics 、 Security market line 、 Stock market 、 Market depth 、 Market impact 、 Financial economics 、 Market liquidity 、 Market timing 、 Market analysis 、 Economics 、 Market microstructure
摘要: In this paper we make a detail evaluation of stock market efficiency in Romania. First, employ 686,243 trading models derived from 44 technical analysis indicators and determine that significant inefficiencies exist for prices country. The time varying nature these points out is not improving over time, but instead fluctuates the way consistent to Adaptive Market Hypothesis. We show investor success does depend on target investment asset, slightly depends specific prediction heavily size implemented rule universe. Next, focus finding what are determining factors efficiency. Contrary one might expect, find liquidity has an almost insignificant impact main factor Romania price momentum, argues detected anomalies due behavioral biases.
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