The Theoretical and Empirical Perspectives of Efficient Stock Market57
Bertoneche (1981) applied both spectral analysis and filter rules to price series
for the New York Stock Exchange (NYSE) and six European markets during the
period from 1969 to 1976. It is interesting that the results obtained from the two
sorts of analysis are opposite. None of the series indicated a significant departure
from independence using spectral analysis. On the other hand, the evidence
obtained from the filter rule showed abnormal profits in all six European markets,
even after transaction costs were considered. Bertoneche ...
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