Although technical analysis is widely used by practitioners, current academic evidence on its efficiency is largely mixed.
This thesis carries out four independent studies to contribute to this strand of literature.
We find evidence for the turnover ratio increasing more for illiquid stocks than liquid stocks in response to market events.
Through an analysis of the trailing 2 year correlation between turnover ratio and price impact, we show that this correlation in liquid stocks steadily increases starting from the early 1990s, possibly due to the proliferation of day traders.
This study uses the traditional random walk methodology of serial correlation and runs tests as applied by Fama (1965), Cooper (1982), and Taylor (1986) rather than the newer methodologies of variance ratios [Lo and Mac Kinlay (1988)] and of regression [Jegadeesh (1990)].
These techniques are used for reasons of triangulation in research and for their intuitive appeal.I find although trading on Bollinger Bands had been extremely profitable before their introduction to public in 1983, its profitability has gradually decreased ever since and has largely disappeared since the influential publication on Bollinger Bands in 2001.Moreover, the profitability 1 The first three studies of this thesis are joint work with my supervisors Professor Ben Jacobsen and Dr.In many cases, the findings have not supported the random walk hypothesis and are therefore not consistent with efficiency in the weak-form.The key question investigated is whether successive share price returns on the Nairobi Stock Exchange are independent random variables so that price returns cannot be predicted from historical price returns. We use the Center for Research in Security Prices (CRSP) and Trade and Quotes (TAQ) databases to acquire stock data across different time spans to perform analysis across different time horizons, including stock listing and de-listing analysis using monthly trades data, price impact and turnover ratio analysis using daily trades data, and intraday trading frequency case studies using intraday trades data. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. In this thesis we analyze US stock market liquidity in the period of 1973 to 2015 from three perspectives: price impact, turnover ratio, and trading frequency.Moreover, current studies largely concentrate on price-based technical indicators.In contrast, the widely used technical market indicators have drawn limited attention.They remain appropriate tools for testing the weak-form EMH despite challenge from newer methodologies.In their use, nevertheless, the study recognises and deals with two largely ignored issues in their application to EMH tests in emerging markets: the quality and quantity of data, and the depth of analysis of the market microstructure.