Revisit the Market Efficiency Hypothesis and the Returns from the Moving Average Trading Rules on the S&P 500 Price Index

Ren L

Published on: 2019-05-26

Abstract

In this study, we indirectly prove the inappropriate claim of market inefficiency on the S&P 500 by using Student test for two independent samples in previous research. We propose an alternative way of reclassifying the Buy and Sell Days from using the Moving Average Trading Rules based on daily returns, which leads to better daily return forecast by about five times.