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A Note on Filter Rules and Stock‐Market Trading in New Zealand *
Author(s) -
EMANUEL DAVID M.
Publication year - 1980
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1980.tb01691.x
Subject(s) - stock exchange , financial economics , capital asset pricing model , economics , risk–return spectrum , portfolio , stock (firearms) , capital market , business , security market line , econometrics , monetary economics , stock market , finance , mechanical engineering , paleontology , horse , engineering , biology
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.