Testing the Weak-Form Market Eficiency of the Euronext Wheat

Dinică, Mihai Cristian
Dinică, Erica Cristina (Balea)
Publication date: 
JEL codes: 
G14 - Information and Market Efficiency; Event Studies, G15 - International Financial Markets, G17 - Financial Forecasting and Simulation.
Using a trading system based on various simple moving average crossings, the paper examines the weak-form market efficiency of the wheat traded at the Euronext exchange. After optimizing over the sample period, the best strategy is selected and then applied over the out-of-sample period. The profitability of this strategy is then compared with the simple buy and hold strategy. The methodology is then repeated for different sub-samples in order to check the results’ robustness. The results show that the weak-form market efficiency hypothesis cannot be rejected for the wheat case.
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