Market Efficiency For S&P 500: 1954-2004

Abstract

This paper tests three moving average technical trading rules for the S&P 500 stock index. Using daily data from 1954 to 2004, our results indicate that moving average rules did indeed had predictive power and could discern recurring-price patterns for the period up to mid 1980s. However, since mid 1980s, technical trading rules do not work and could not discern recurring-price patterns. Our results are consistent with market inefficiency from 1954 to 1984 and market efficiency from 1984 to present.