دانلود مقاله ISI انگلیسی شماره 13252
ترجمه فارسی عنوان مقاله

آزمون کارایی شکل ضعیف در بورس اوراق بهادار تورنتو

عنوان انگلیسی
Testing weak form efficiency on the Toronto Stock Exchange
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
13252 2011 31 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 18, Issue 4, September 2011, Pages 661–691

ترجمه کلمات کلیدی
کارایی بازار - فرضیه بازار کارا - کارایی بازار ضعیف فرم - خود راه انداز بر اساس مدل -
کلمات کلیدی انگلیسی
Market efficiency, Efficient market hypothesis, Weak-form market efficiency, Model-based bootstrap,
پیش نمایش مقاله
پیش نمایش مقاله  آزمون کارایی شکل ضعیف در بورس اوراق بهادار تورنتو

In order to test for weak form efficiency in the market a vast pool of individual stocks must be analyzed rather than a stock market index. In this paper, a model-based bootstrap is used to generate a series of simulated trials and a modified chart pattern recognition algorithm is applied to all stocks listed on the Toronto Stock Exchange (TSX). The number of patterns detected in the original price series is compared with the number of patterns found in the simulated series. By simulating the price path specific time dependencies present in real data are eliminated, making price changes purely random. Patterns, if consistently identified, carry information which adds value to the investment process, however, this informativeness does not guarantee profitability. Conclusions are drawn on the relative efficiency of some sectors of the economy. Although the null hypothesis of weak form efficiency on the TSX cannot be rejected, some sectors of the Canadian economy appear to be less efficient than others. In addition, pattern frequencies appear to be negatively dependent on the two moments of return distributions, variance and kurtosis.