¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas
As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. U...
- Autores:
-
Agudelo, Diego Alonso
Uribe, Jorge Hernán
- Tipo de recurso:
- Fecha de publicación:
- 2009
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- spa
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/649
- Acceso en línea:
- http://hdl.handle.net/10784/649
- Palabra clave:
- Data snooping
Technical analysis
Colombian stock market
Market efficiency
Simulation
Bootstrapping
Data snooping
Análisis técnico
Mercado accionario colombiano
Eficiencia de mercado
Simulación
Bootstrapping
- Rights
- License
- Acceso abierto
| Summary: | As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. Unlike other investigations, this study applied “outof- sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping. In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant. |
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