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In this article, an alternative testing procedure for the significance of the predictive power of the Moving Average (MA) trading rule of technical analysis is proposed and applied to the New York Stock Exchange (NYSE), the Athens Stock Exchange (ASE) and the Vienna Stock Exchange (VSE). In contrast to existing methodologies, for which significance testing is performed considering exclusively one combination of MA lengths each time, the one proposed in this article takes into account the variability of the performance of the MA trading rule by considering jointly the rule's cumulative returns using MAs at all lengths. More reliable testing of the hypothesis of weak-form market efficiency and more straightforward interpretation of results by investors are among the advantages of the proposed approach over the existing one. An application of the proposed methodology to capital markets for the period 1993 to 2005 shows that weak-form market efficiency is clearly accepted for the NYSE, is rejected for the ASE except for the last sub-period (2001 to 2005), while for the VSE, it is rejected for the first sub-period (1993 to 1997) and accepted for the other two sub-periods.
