An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing

An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application of some commonly used methods for the empirical testing of market efficiency are meaningful are examined, and guidelines for practitioners are suggested. Further, market efficiency is examined in a time-varying risk framework.Market efficiency; Return predictability; Serial correlation in stock returns; Market efficiency in the presence of conditional heteroscedasticity

Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non linear dependencies in stock returns

On several occasions technical analysis rules have been shown to have predictive power. The main purpose of this work is to decompose the predictive power of the moving average trading rule and isolate the portion that could be attributed to the possible exploitation of linear and non linear dependencies in stock returns. Data for the General Index of the Athens Stock Exchange are filtered using linear filters so that the resulting simulated “returns” exhibit no serial correlation. Applying moving average trading rules to both the original and the simulated indices and using a statistical testing procedure that takes into account the sensitivity of the performance of the trading rule as a function of moving average length, it is found that the predictive power of the trading rule is clearly weakened when applied to the simulated index indicating that a substantial part of the rule’s predictive power is due to the exploitation of linear dependencies in stock returns. It is also found that the contribution of linear dependencies in stock returns to the performance of the trading rule is increased for shorter moving average lengths.Market Efficiency; Technical Analysis; Moving Average Trading Rules; Athens Stock Exchange.

A Note on the Use of Moving Average Trading Rules to Test For Weak from Efficiency in Capital Markets

This work focuses on the sensitivity of the performance of the moving average (MA) trading rule of technical analysis to changes in the MA length employed. Empirical analysis of daily data from NYSE, the Vienna Stock Exchange (VSE) and the Athens Stock Exchange (ASE) reveal high variability of the performance of the MA trading rule as a function of the MA length for all these markets, a result that weakens the conclusions of previous works, regarding the validity of the hypothesis of weak form market efficiency. Further, the trading rule is found to have predictive power in ASE and VSE, but not in NYSE.Efficiency of Capital Markets; Technical Analysis Trading Rules with Moving Averages; Athens Stock Exchange; New York Stock Exchange; Vienna Stock Exchange.

The international epidemiological transition and the education gender gap

We explore the impact of the international epidemiological transition on educational attainment of males and females over the second half of the twentieth century. Using an instrumental variables strategy that exploits pre-existing variation in mortality rates across infectious diseases and gender differences in the responsiveness to the method of disease control, we document that health improvements associated with the transition led to larger gains in life expectancy for females due to their stronger immune response to vaccination. These relative gains were associated with greater increases in the educational attainment of females compared to males and account for a large share of the reduction in the education gender gap that took place over this period

Democratic constraints and adherence to the classical gold standard

We study how political institutions affected the decision of countries to adhere to the classical gold standard. Using a variety of econometric techniques and controlling for a wide range of relevant economic and political factors, we find that the probability of adherence to the gold standard before World War I was ceteris paribus lower for countries which were more democratic. This effect can be linked to how open the political process was to different segments of the population and the extent of political competition resulting from that. The effect was particularly relevant for peripheral countries and it influenced both the decision of countries to adopt the gold standard as well as the decision to suspend it

Democratic Constraints and Adherence to the Classical Gold Standard

We study how domestic politics affected the decisions of countries to adhere to the classical gold standard. Using a variety of econometric techniques and controlling for a wide range of economic factors, we demonstrate that political constraints were important in the decision of countries to adopt the gold standard as well as in the decision to suspend it. Specifically we find that the probability of adherence to the gold standard was ceteris paribus lower for countries in which domestic politics were organized in a more open and democratic fashion. This effect appears to be driven largely by the extent of domestic political competition and was particularly relevant for peripheral countries