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Episodic dependencies and the profitability of moving average strategy on Romanian capital market

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  • Alexandru Todea

    (Babes-Bolyai University, Cluj-Napoca)

Abstract

Episodic dependencies and moving averages profitability of Romanian capital markets. The evolution of informational efficiency of Romanian stock market is illustrated by means of a test which takes into account nonlinear dynamics. According to this test, we cannot consider a significant amelioration of the efficiency degree of Romanian stock market. Moreover, knowing that random walk are joint tests of the efficiency hypothesis, there was researched the profitability of moving averages on the identified linear and nonlinear correlation sub periods. The results revealed that only nonlinear dependencies are profitably exploited by the moving averages strategies. The most profitable strategy of 15000 strategies was analyzed. The originality of this research is given by the combination of random walk tests with the technical analysis tests, which led to the construction of a new methodology for the evaluation of informational efficiency in weak form.

Suggested Citation

  • Alexandru Todea, 2008. "Episodic dependencies and the profitability of moving average strategy on Romanian capital market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 11(11(528)(s), pages 186-193, November.
    • Handle: RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:186-193
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    Cited by:

    1. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.

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