Datos de trabajo

linepun02.gif (204 bytes) Título: TECHNICAL ANALYSIS IN THE MADRID STOCK EXCHANGE
Fichero del trabajo: pulse aqui
Tipo: Ponencia
Área: G.3. Métodos econométricos.
Autores: Fernando Fernández Rodríguez Julián Andrada Félix Simón Sosvilla Rivero
Resumen: In this paper we examine the predictive ability of several popular technical trading rules in the Madrid Stock Exchange (moving averages and trading-range breaks). To that end we have evaluated simple forms of Technical Analysis for Index of the Madrid Stock Exchange, using daily data for the thirty-one-year period from January 1966 to October 1997.
Our results provide strong support for profitalility of the technical strategies. By making use of bootstrap techniques we show that returns obtained from these strategies are not consistent with several null models frecuentrly used in finances like AR(1), GARCH and GARCH_M.