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Weak form market efficiency tests 1.0

  Date Added: June 30, 2013  |  Visits: 250

Weak form market efficiency tests

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This is a set of functions that allows to test the weak form market efficiency and thus the predictability of the time series returns through various tests: direct and indirect test.The direct tests are the two versions (individual and joint)of the variance ratio of Lo and MacKinlay (1988).The indirect tests allows to test for profitability through the implementation of different investment strategies like the momentum strategy and the technical trading rules.

Requirements: No special requirements
Platforms: Matlab
Keyword: 1988the Efficiency Implementation Individual Investment Jointof Mackinlay Momentum Predictability Profitability Ratio Returns Rules Series Strategies Strategy Technical Trading Variance
Users rating: 0/10

License: Freeware Size: 532.48 KB
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