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A Note on Filter Rules and Stock‐Market Trading in New Zealand

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  • DAVID M. EMANUEL

Abstract

Using a portfolio of similar risk as a control, this study reveals that the application of various sized filter rules failed to earn abnormal returns on the New Zealand Stock Exchange in the 1967–76 period. The risk‐return relationship is given by the well‐known capital asset pricing model. The results are consistent with capital market efficiency in the ‘weak’ form.

Suggested Citation

  • David M. Emanuel, 1980. "A Note on Filter Rules and Stock‐Market Trading in New Zealand," The Economic Record, The Economic Society of Australia, vol. 56(155), pages 378-381, December.
    • Handle: RePEc:bla:ecorec:v:56:y:1980:i:155:p:378-381
    DOI: 10.1111/j.1475-4932.1980.tb01691.x
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    References listed on IDEAS

    as
    1. Praetz, P. D., 1979. "A General Test of a Filter Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 385-394, June.
    2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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