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The Journal of Alternative Investments

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Article

Return Predictability and Efficient Market Hypothesis: Evidence from Iceland

Massoud Metghalchi, Massomeh Hajilee and Linda A. Hayes
The Journal of Alternative Investments Summer 2018, 21 (1) 68-78; DOI: https://doi.org/10.3905/jai.2018.21.1.068
Massoud Metghalchi
is a professor of finance in the School of Business Administration at the University of Houston–Victoria in Victoria, TX. metghalchim@uhv.edu
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Massomeh Hajilee
is an associate professor of economics in the School of Business Administration at the University of Houston–Victora in Victoria, TX. hajileem@uhv.edu
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Linda A. Hayes
is a professor of marketing in the School of Business Administration at the University of Houston–Victoria in Victoria, TX. hayesl@uhv.edu
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Abstract

The authors examine whether technical analysis has predictive power in the case of the OMX Iceland All-Share Index. If trading rules have predictive power, could a trader design a strategy to beat the profitability of the buy-and-hold strategy, considering transaction costs and risk? The authors use four trading rules and test their profitability in the case of the OMX Iceland All-Share Index for the period from April 30, 1999 through December 30, 2016. They first conclude that trading rules have predictive power. They then design four strategies for each trading rule and conclude that it is possible to exploit the predictive power of these rules. Finally, they consider both risk and transaction costs of various trading rules and find three rules—MA200, MA150, and MACD—that can beat the buy-and-hold strategy for the entire period and each subperiod, even considering risk and transaction costs.

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The Journal of Alternative Investments: 21 (1)
The Journal of Alternative Investments
Vol. 21, Issue 1
Summer 2018
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Return Predictability and Efficient Market Hypothesis: Evidence from Iceland
Massoud Metghalchi, Massomeh Hajilee, Linda A. Hayes
The Journal of Alternative Investments Jun 2018, 21 (1) 68-78; DOI: 10.3905/jai.2018.21.1.068

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Return Predictability and Efficient Market Hypothesis: Evidence from Iceland
Massoud Metghalchi, Massomeh Hajilee, Linda A. Hayes
The Journal of Alternative Investments Jun 2018, 21 (1) 68-78; DOI: 10.3905/jai.2018.21.1.068
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  • Article
    • Abstract
    • DATA AND METHODOLOGY
    • EMPIRICAL RESULTS
    • PREDICTIVE POWER AND STRATEGIC DESIGNS
    • RISK AND TRANSACTION COSTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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  • Editor’s Letter
  • INVITED EDITORIAL COMMENT: Foreword for JAI Special Issue on New Frontiers of Alternative Investments
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