Market Efficiency in The Swedish Market: Study on technical trading rules 1987-2008
Abstract: I investigate market efficiency in the Swedish market by analyzing the informational value and profitability of a set of technical indicators and trading systems, many of which have received little attention in previous research. I determine that technical analysis has informational value, as the distributions of the conditional returns differ greatly from that of the unconditional returns and the normal distribution. Regarding the profitability of technical trading rules, I find that the risk-adjusted daily returns are slightly negative overall for the standalone indicators. However, profitability increases greatly when indicators are combined. In addition, I find that technical analysis has larger predictive powers when based on weekly instead of daily data and that technical returns have decreased over the sample period. These results determine that markets are inefficient, but have become more efficient over the studied period. This suggests that technical traders have to use increasingly sophisticated technical trading rules in order to earn profits in future markets.
AT THIS PAGE YOU CAN DOWNLOAD THE WHOLE ESSAY. (follow the link to the next page)