Can technical analysis disprove efficient market hypothesis case of VN-index

Abstract

With a purpose to figure out how profitable Technical Analysis is when applying in the theory of Efficient Market Hypothesis, a case of Vn-index. Specifically, the purpose will be divided into two sub tasks. One is prove that Vn-index is in favor of efficient market. On the other hand, other task is selecting one technical method and criticizing how the annualized return that method yields. In order to answer the first task, Dickey- Fuller uni root and KPSS tests are implemented. For second task, Moving Average is chosen to represent Technical Analysis method and applied selling and buying rule of Moving Average for calculating return. From the combination of the two steps, the research has found that Vietnamese stock market was Random Walk and it was relatively unreliable and unprofitable for using Technical Analysis on Vn-index.