This study employed technical analysis to examine the existence (or absence) of weak-form efficiency in the equities market of Jamaica. Moving average (MA) indicators were used to develop trading strategies whose returns were compared to those of the buy-and-hold strategy. The Capital Asset Pricing Model (CAPM) and Jensen's performance measure were used to estimate the ex cess (abnormal) returns of each MA strategy over the benchmark (buy-and-hold) strategy. As additional measures, the Sharpe, Treynor, and information ratios were used to evaluate the risk a djusted returns of the MA strategies. Although the Sharpe, Treynor and information ratios were positive in several years, when the excess returns of the moving average strategies were regressed against those of the buy-and-hold strategy, Jensen's alpha values were found to be generally positive, but all statistically insignificant. The results therefore suggest that the hypothesis of weak-form market efficiency cannot not be rejected.

Chapter 1 Introduction 1
Chapter 2 Institutional Background and Literature Review 4
Chapter 3 Data and Methodology 20
Chapter 4 Results and Discussion 27
Chapter 5 Conclusion 38
Chapter 6 References 41

Al-Loughani, N. and Chappell, D. (1997) On the Validity of the Weak-Form Efficient Markets Hypothesis Applied to the London Stock Exchange. Applied Financial Economics, 7, 173-176. doi: 10.1080/135048500351087
Banz, R.W. (1981) The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 9, 3-18.
Available at: http://dx.doi.org/10.1016/0304-405X(81)90018-0
Barberis, N., Huang, M., & Santos, T. (2001). Prospect theory and asset prices. The Quarterly Journal of Economics, 116(1), 1-53.
Available at: https://doi.org/10.1162/003355301556310
Barnes, P. A. (1986). Thin Trading and Stock Market Efficiency: the Case of the Kuala Lumpur Stock Exchange. Journal of Business Finance & Accounting, 13(4), 609-617.
Available at: https://doi.org/10.1111/j.1468-5957.1986.tb00522.x
Chan, J. C. C. (2013). Moving Average Stochastic Volatility Models with Application to Inflation Forecast. Journal of Econometrics, 176(2), 162-172. doi:10.1016/j.jeconom.2013.05.003
Chavarnakul, T. & Enke, D. (2009). A Hybrid Stock Trading System for Intelligent Technical Analysis-Based Equivolume Charting. Neurocomputing, 72(16), 3517-3528. doi:10.1016/j.neucom.2008.11.030
Chen, N. F., Roll, R. & Ross, S.A. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3), 383-403. Available at: http://dx.doi.org/10.1086/296344
Claessens, S., Dasgupta, S., & Glen, J. (1995). Return Behavior in Emerging Stock Markets. The World Bank Economic Review, 9(1), 131–151. doi:10.1093/wber/9.1.131
Elbannan, M.A. Accounting and stock market effects of international accounting standards adoption in an emerging economy. Review of Quantitative Finance and Accounting, 36(2):207-245. doi:10.1007/s11156-010-0176-1
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417. Available at: https://doi.org/10.2307/2325486
Fama, E. F. (1991). Efficient Capital Markets: II. Journal of Finance, 46, 1575-1617.
Available at: https://doi.org/10.2307/2328565
Fama, E. F. (1965) The Behaviour of Stock Market Prices. Journal of Business, 64, 34-105. Available at: https://www.jstor.org/stable/2350752
Fama, E. F., & Blume, M. E. (1966). Filter Rules and Stock-Market Trading. The Journal of Business, 39(1), 226–241. Available at: https://www.jstor.org/stable/2351744
Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427-465. Available at: https://doi.org/10.2307/2329112
Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636. doi:10.1086/260061
Ferson, W. E., & Harvey, C. R. (1993). The Risk and Predictability of International Equity Returns. The Review of Financial Studies, 6(3), 527–566. doi:10.1093/rfs/6.3.527
Fong, K. Y., & Wong, W. K. (2012). Do moving average rules make profits: Evidence from the European stock markets. The European Journal of Finance, 18(8), 753-766.
Gooptu, S. (1993). Portfolio Investment Flows to Emerging Markets. Policy Research Working Paper Series 1117, The World Bank.
Grieb, T. & Reyes, M.G. (1999). Random Walk Tests for Latin American Equity Indexes and Individual Firms. The Journal of Financial Research, 22(4), 371-383.
doi:10.1111/j.1475-6803.1999.tb00701.x
Hartzmark, S. M., & Solomon, D. H. (2013). The dividend month premium. The Journal of Finance, 68(1), 155-193. doi:10.1080/135048500351087
Hassan, K. M., Haque, M., & Lawrence, S. (2006). An Empirical Analysis of Emerging Stock Markets of Europe. Quarterly Journal of Business and Economics, 45(1), 31-52. doi:10.2307/40473413
Healy, P. M., Hutton, A. P., & Palepu, K. G. (1999). Stock Performance and Intermediation Changes Surrounding Sustained Increases in Disclosure. Contemporary Accounting Research, 16, 485-520. doi:10.1111/J.1911-3846.1999.TB00592.X
Jensen, M. C., Black, F., and Scholes, M.S. (1972). The Capital Asset Pricing Model: Some Empirical Tests. Michael C. Jensen, Studies in the Theory of Capital Markets, Praeger Publishers Inc.,1972. Available at SSRN: https://ssrn.com/abstract=908569
Jones, C. M., & Johnson, W. B. (2010). Moving averages, momentum investing, and asset allocation. The Journal of Finance, 55(1), 407-451.
Karemera, D., Ojah, K. & Cole, J.A. (1999). Random Walks and Market Efficiency Tests: Evidence from Emerging Equity Markets. Review of Quantitative Finance and Accounting 13, 171–188. doi:10.1023/A:1008399910942
Ko, K.S., & Lee, S. B. (1991). A Comparative Analysis of the Daily Behavior of Stock Returns: Japan, the Us and the Asian Nics. Journal of Business Finance & Accounting, 18(2), 219–234. doi:10.1111/j.1468-5957.1991.tb00590.x
Koot, R., Miles, J. & Heitmann, G. (1989). Security Risk and Market Efficiency In The Jamaican Stock Exchange. Caribbean Finance and Management 5(2), 18-33.
Lambert, R., Leuz, C., & Verrecchia, R. E. (2007). Accounting Information, Disclosure, and the Cost of Capital. Journal of Accounting Research, 45(2), 385–420.
doi:10.1111/j.1475-679X.2007.00238.x
Laurence, M. M. (1986). Weak-Form Efficiency in the Kuala Lumpur and Singapore Stock Markets. Journal of Banking and Finance, 10(3), 431-445.
doi:10.1016/S0378-4266(86)80031-0
Lee, U. (1992). Do Stock Prices Follow Random Walk?: : Some International Evidence. International Review of Economics & Finance, Elsevier, 1(4), 315-327.
Leuz, C. & Verrecchia, R. E. (2000). The Economic Consequences of Increased Disclosure. Journal of Accounting Research, 38, 91-124,
Available at: https://doi.org/10.2307/2672910
Lo, A. W. & MacKinlay, A. C. (1988) Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1, 41-66, Available at: http://dx.doi.org/10.1093/rfs/1.1.41
Lo, A. W. & Mamaysky, H. & Wang, J. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. Journal of Finance, 55(4):1705-1770. doi:10.1111/0022-1082.00265
Metghalchi, M., Garza-Gomez, X., Glasure, Y., & Chang, Y.-H. (2008). Are Moving Average Trading Rules Profitable? Evidence From The Mexican Stock Market. Journal of Applied Business Research (JABR), 24(1). Available at: https://doi.org/10.19030/jabr.v24i1.1372
Miralles-Quirós, J. L., Miralles-Quirós, M. del M., & Valente Gonçalves, L. M. (2018). The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market. Emerging Markets Finance and Trade, 1–18. doi: 10.1080/1540496X.2017.1422428
Park, C. H., & Irwin, S. H. (2007). What Do We Know about The Profitability of Technical Analysis? Journal of Economic Surveys, 21(4), 786–826.
doi:10.1111/j.1467-6419.2007.00519.x
Ratner, M & Leal, R. (1999). Test of technical trading strategies in emerging equity markets of Latin America and Asia. Journal of Banking & Finance, 23(12), 1887–1905.
doi:10.1016/S0378-4266(99)00042-4
Roberts, H. V. (1959). Stock-Market “Patterns” and Financial Analysis: Methodological Suggestions. The Journal of Finance, 14(1), 1.
Robinson, C. J. (2001). Stock Price Behavior in a Small Emerging Market: Tests for Predictability and Seasonality on the Barbados Stock Exchange. Savings and Development, 25(1), 103–115.
Robinson, C. J. (2005). Stock Price Behaviour In Emerging Markets: Tests For Weak Form Market Efficiency On The Jamaica Stock Exchange. Social and Economic Studies, 54(2), 51–69. doi:10.2139/ssrn.2845446
Samuelson, P. (1965). Proof That Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review Spring, 6, 41-49. doi:10.1142/9789814566926_0002
Schulmeister, S. (2008). Profitability of technical stock trading: Has it moved to intraday data. Review of Financial Economics, 18(4), 190-201. doi:10.1016/j.rfe.2008.10.001
Sharma, J. L., & Kennedy, R. E. (1977). A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges. The Journal of Financial and Quantitative Analysis, 12(3), 391–413. doi:10.2307/2330542
Singh, R. (1995). An examination of return predictability on the Trinidad and Tobago Stock Exchange, Insights into an Emerging Financial Structure: The Experience of Trinidad and Tobago, St. Augustine: Caribbean Centre for Monetary Studies, 227-246.
Smith, T. (2005). The performance of moving average rules in emerging stock markets. Emerging Markets Review, 6(1), 1-15.
Sobreiro, V. A., Costa, T. R., Nazário, R. T., Silva, J. L., Moreira, E. A., Rodolfo &, Filho, M. C., Kimura, H. & Zambrano, J. C. (2016). The profitability of moving average trading rules in BRICS and emerging stock markets. The North American Journal of Economics and Finance, (38), 86-101. doi: 10.1016/j.najef.2016.08.003
Teixeira, L.A., & Oliveira, A. (2010). A method for automatic stock trading combining technical analysis and nearest neighbor classification. Expert Systems with Applications, 37(10), 6885-6890. doi:10.1016/j.eswa.2010.03.033
Torun, M. U., & Kurt, S. (2008). Testing Weak and Semi-strong Form Efficiency of Stock Exchanges in European Monetary Union Countries: Panel Data Causality and Co- integration Analysis. International Journal of Economic and Administrative Studies, 1(0).
doi:10.18092/IJEAS.65492
Urrutia, J.L. (1995). Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets. Journal of Financial Research, 18(3),299-309.
doi:10.1111/j.1475-6803.1995.tb00568.x
Verrecchia, R. (2001). Essays on Disclosure. Journal of Accounting and Economics, 32, 97-180. Available at: http://dx.doi.org/10.1016/S0165-4101(01)00025-8
Wang, Y., & Lin, Z. (2016). Performance and persistence of moving average trading rules in commodity markets. The Journal of Futures Markets, 36(11), 1059-1076.
Wei, L. Y., Chen, T. L & Ho, T. H. (2011). A Hybrid Model Based on Adaptive-network-based Fuzzy Inference System to Forecast Taiwan Stock Market. Expert Systems with Applications, 38(11), 13625-13631. doi:10.1016/j.eswa.2011.04.127
Welker, M. (1995). Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets. Contemporary Accounting Research, 11, 801-827.
doi:10.1111/J.1911-3846.1995.TB00467.X
Wong, K. A. & Kwong, K. S. (1984). The Behaviour of Hong Kong Stock Prices. Applied Economics, 16(6), 905-917. doi:10.1080/00036848400000059
Worthington, A. C. & Higgs, H. (2009). Efficiency in the Australian Stock Market 1875-2006: A Note on Extreme Long-run Random Walk Behaviour. Applied Economics Letters, 16(3), 301-306. doi:10.1080/13504850601018379
Yamamoto, R.. (2012). Intraday Technical Analysis of Individual Stocks on the Tokyo Stock Exchange. Journal of Banking & Finance, Elsevier, 36(11), 3033-3047.
doi:10.2139/ssrn.2080743
Zhu, Y. & Zhou, G. (2009). Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages. Journal of Financial Economics, 92(3), 519-544.
doi:10.1016/j.jfineco.2008.07.002