varying risk premia.
Bessembinder and Chan (1998) redo the calculations of Brock et al. (1992) for the period 1926-1991 to assess the economic significance of the Brock et al. (1992) findings. Corrections are made for transaction costs and dividends. One-month treasury bills are used as proxy for the risk-free interest rate if no trading position is held in the market. Furthermore, also a correction is made for non-synchronous trading by lagging trading signals for one day. It is computed that one-way break-even transaction costs are approximately 0.39% for the full sample. However they decline from 0.54% in the first subperiod 1926-1943 to 0.22% in the last subperiod 1976-1991. Knez and Ready (1996) estimate the average bid-ask spread between 0.11 and 0.13%, while Chan and Lakonishok (1993) estimate commissions costs to be 0.13%. Together this adds to approximately 0.24 to 0.26% transaction costs for institutional traders in the last subperiod. In earlier years trading costs were probably higher. Thus the break-even one-way transaction costs of 0.22% in the last subperiod are clearly smaller than the real estimated transaction costs of 0.26% per trade. Although Bessembinder and Chan (1998) confirm the results of Brock et al. (1992), they conclude that there is little reason to view the evidence of Brock et al. (1992) as indicative of market inefficiency.
Fernández-Rodríguez, Sosvilla-Rivero, and Andrada-Félix (2001) replicate the testing procedures of Brock et al. (1992) for daily data of the General Index of the Madrid Stock Exchange (IGBM) in the period January 1966 through October 1997. They find that technical trading rules show forecastability in the Madrid Stock Exchange, but acknowledge that they didn't include transaction costs. Furthermore, the bootstrap results show that several null models for stock returns such as the AR(1), GARCH and GARCH-in-mean models cannot explain the forecasting power of the technical trading rules.
Ratner and Leal (1999) apply ten moving-average trading rules to daily local index inflation corrected closing levels for Argentina (Bolsa Indice General), Brazil (Indice BOVESPA), Chile (Indice General de Precios), India (Bombay Sensitive), Korea (Seoul Composite Index), Malaysia (Kuala Lumpur Composite Index), Mexico (Indice de Precios y Cotaciones), the Philippines (Manila Composite Index), Taiwan (Taipei Weighted Price Index) and Thailand (Bangkok S.E.T.) in the period January 1982 through April 1995. After correcting for transaction costs, the rules appear to be significantly profitable only in Taiwan, Thailand and Mexico. However, when not looking at significance, in more than 80% of the cases the trading rules correctly predict the direction of changes in prices.
Isakov and Hollistein (1999) test simple technical trading rules on the Swiss Bank Corporation (SBC) General Index and to some of its individual stocks UBS, ABB, Nestle, Ciba-Geigy and Zurich in the period 1969-1997. They are the first who extend moving-