The purpose of this study is to examine the informational efficiency in the Korean stock market. The integration of each technical index is used to test the weak form efficiency of the stock market.
An artificial intelligence-based rule-induction approach to the analysis of stock market prediction is presented as a trading strategy to test the market efficiency of weak form. As an alternative strategy for market prediction, buy-and-hold strategy is compared with the trading strategy.
The results show that we cannot reject the market efficiency, but in a specific period there exist exess returns, and that a revised method for rule induction algorithm is more useful than the original method.
