Does technical analysis generate profitability in the colombian stock market?

25 páginas.

Autores:
Medellín Aroz, Paula Andrea
Cortés Andrade, Juan Santiago
Tipo de recurso:
Fecha de publicación:
2017
Institución:
Universidad de la Sabana
Repositorio:
Repositorio Universidad de la Sabana
Idioma:
eng
OAI Identifier:
oai:intellectum.unisabana.edu.co:10818/29348
Acceso en línea:
http://hdl.handle.net/10818/29348
Palabra clave:
Bolsa de valores -- Colombia
Mercado de valores -- Colombia
Acciones (Bolsa) -- Colombia
Rights
License
http://purl.org/coar/access_right/c_abf2
id REPOUSABA2_c563aa150c991f9e7ec9d30bb14104e9
oai_identifier_str oai:intellectum.unisabana.edu.co:10818/29348
network_acronym_str REPOUSABA2
network_name_str Repositorio Universidad de la Sabana
repository_id_str
dc.title.es_CO.fl_str_mv Does technical analysis generate profitability in the colombian stock market?
title Does technical analysis generate profitability in the colombian stock market?
spellingShingle Does technical analysis generate profitability in the colombian stock market?
Bolsa de valores -- Colombia
Mercado de valores -- Colombia
Acciones (Bolsa) -- Colombia
title_short Does technical analysis generate profitability in the colombian stock market?
title_full Does technical analysis generate profitability in the colombian stock market?
title_fullStr Does technical analysis generate profitability in the colombian stock market?
title_full_unstemmed Does technical analysis generate profitability in the colombian stock market?
title_sort Does technical analysis generate profitability in the colombian stock market?
dc.creator.fl_str_mv Medellín Aroz, Paula Andrea
Cortés Andrade, Juan Santiago
dc.contributor.advisor.none.fl_str_mv Guevara Castañeda, Diego Alejandro
dc.contributor.author.none.fl_str_mv Medellín Aroz, Paula Andrea
Cortés Andrade, Juan Santiago
dc.subject.none.fl_str_mv Bolsa de valores -- Colombia
Mercado de valores -- Colombia
Acciones (Bolsa) -- Colombia
topic Bolsa de valores -- Colombia
Mercado de valores -- Colombia
Acciones (Bolsa) -- Colombia
description 25 páginas.
publishDate 2017
dc.date.accessioned.none.fl_str_mv 2017-01-18T15:09:15Z
dc.date.available.none.fl_str_mv 2017-01-18T15:09:15Z
dc.date.created.none.fl_str_mv 2017-01-18
dc.date.issued.none.fl_str_mv 2017
dc.type.es_CO.fl_str_mv bachelorThesis
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dc.type.local.none.fl_str_mv Tesis de pregrado
dc.type.hasVersion.none.fl_str_mv publishedVersion
dc.identifier.citation.none.fl_str_mv Agudelo Rueda, D. A., & Uribe Estrada, J. H. (2009, May 30). ¿Realidad o Sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas. 189-217. Medellín, Colombia: EAFIT.
Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Instituti. Journal of Financial Economics, 51(2), 245–271. http://doi.org/10.1016/S0304-405X(98)00052-X
Autorregulador del Mercado de Valores de Colombia. (2010). AMV. Retrieved December 6, 2016, from Ventas en Corto: Análisis comparativo y Propuesta para su implementación en el mercado de valores colombiano: http://amvcolombia.org.co/attachments/data/20101001212256.pdf
Banco de la República de Colombia. (n.d.). Índices del mercado bursátil colombiano. Retrieved September 22, 2016, from Banco de la República: http://www.banrep.gov.co/es/igbc
Banco de la República de Colombia. (2016). Tasa de intervención de política monetaria del Banco de la República . Retrieved August 15, 2016, from Tasas de intervención: http://www.banrep.org/es/tasa-intervencion-politica-monetaria
Brock, W., Lakonishok, J., & LeBaron, B. (1992a). Simple Technical Trading Rules and The Stochastic Properties od Stock Returns. Journal of Finance, 47(5), 1731–1764.
Brock, W., Lakonishok, J., & LeBaron, B. (1992b). Simple Technical Trading Rules and The Stochastic Properties of Stock Returns. Journal of Finance, 47(5), 1731–1764.
Chong, T. T., & Leung, K. A. W. A. I. (2011). Is the Rate-of-Change Oscillator Profitable ?, 72–75.
Coutts, J. A. (2010). Trading rules and stock returns: some further short run evidence from the Hang Seng 1997–2008. Applied Financial Economics, 20(1992), 1667–1672. http://doi.org/10.1080/09603107.2010.524613
Coutts, J. A., & Cheung, K.-C. (2000). Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997. Applied Financial Economics, 10(6), 579– 586. http://doi.org/10.1080/096031000437935
Curcio, R., Goodhart, C., Guillaume, D., & Payne, R. (1997). Do technical trading rules generate profits? Conclusions from the intra-day foreign exchange market. International Journal of Finance & Economics, 2(4), 267–280. http://doi.org/10.1002/(SICI)1099- 1158(199710)2:4<267::AID-JFE57>3.0.CO;2-J
Echeverri, O. (2012). Una prueba de la eficiencia d ´ ebil en el mercado accionario Colombiano es Ojeda Echeverri.
Fama, E. F. (1970). Session topic: stock market price behavior. The Journal of Finance, 25(2), 383–417.
Fernández-Rodrıguez, F., González ́ -Martel, C., & Sosvilla-Rivero, S. (2000). On the profitability of technical trading rules based on artificial neural networks: Economics Letters, 69(1), 89–94. http://doi.org/10.1016/S0165-1765(00)00270-6
Glabadanidis, P. (2014). The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes. International Review of Finance, 14(2), 161–202. http://doi.org/10.1111/irfi.12018
James, F. E. (1968). Monthly Moving Averages—An Effective Investment Tool? Journal of Financial and Quantitative Analysis. http://doi.org/10.2307/2329816
Jensen, M. C. (1978). Some Anomalous Evidence Regarding Market Efficiency. Journal of Financial Economics, 6(2/3), 95–101.
Leuthold, R. M. (1972). Random Walk And Price Trends: The Live Cattle Futures Market. Journal of Finance, 27(4), 879–889
Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). A test of futures market disequilibrium using twelve different technical trading systems. Applied Economics. http://doi.org/10.1080/00036848800000113
Ojeda Echeverri, C. A. (2012). Una prueba de la eficiencia débil en el mercado accionario Colombiano (Tesis de Maestría). Facultad de Ciencias, Escuela de Estadística. Medellín, Colombia: Universidad Nacional de Colombia.
Park, C. H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21(4), 786–826. http://doi.org/10.1111/j.1467- 6419.2007.00519.x
Ready, M. J. (1998). Profits From Technical Trading Rules. Financial Management.
White, H. (2000). A Reality Check for Data Snooping. Econometrica, 68(5), 1097–1126. http://doi.org/10.1111/1468-0262.00152
Zhang, Z. (2013). Finance - Fundamental Problems and Solutions . New York, United States
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10818/29348
dc.identifier.local.none.fl_str_mv 263142
TE08830
identifier_str_mv Agudelo Rueda, D. A., & Uribe Estrada, J. H. (2009, May 30). ¿Realidad o Sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas. 189-217. Medellín, Colombia: EAFIT.
Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Instituti. Journal of Financial Economics, 51(2), 245–271. http://doi.org/10.1016/S0304-405X(98)00052-X
Autorregulador del Mercado de Valores de Colombia. (2010). AMV. Retrieved December 6, 2016, from Ventas en Corto: Análisis comparativo y Propuesta para su implementación en el mercado de valores colombiano: http://amvcolombia.org.co/attachments/data/20101001212256.pdf
Banco de la República de Colombia. (n.d.). Índices del mercado bursátil colombiano. Retrieved September 22, 2016, from Banco de la República: http://www.banrep.gov.co/es/igbc
Banco de la República de Colombia. (2016). Tasa de intervención de política monetaria del Banco de la República . Retrieved August 15, 2016, from Tasas de intervención: http://www.banrep.org/es/tasa-intervencion-politica-monetaria
Brock, W., Lakonishok, J., & LeBaron, B. (1992a). Simple Technical Trading Rules and The Stochastic Properties od Stock Returns. Journal of Finance, 47(5), 1731–1764.
Brock, W., Lakonishok, J., & LeBaron, B. (1992b). Simple Technical Trading Rules and The Stochastic Properties of Stock Returns. Journal of Finance, 47(5), 1731–1764.
Chong, T. T., & Leung, K. A. W. A. I. (2011). Is the Rate-of-Change Oscillator Profitable ?, 72–75.
Coutts, J. A. (2010). Trading rules and stock returns: some further short run evidence from the Hang Seng 1997–2008. Applied Financial Economics, 20(1992), 1667–1672. http://doi.org/10.1080/09603107.2010.524613
Coutts, J. A., & Cheung, K.-C. (2000). Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997. Applied Financial Economics, 10(6), 579– 586. http://doi.org/10.1080/096031000437935
Curcio, R., Goodhart, C., Guillaume, D., & Payne, R. (1997). Do technical trading rules generate profits? Conclusions from the intra-day foreign exchange market. International Journal of Finance & Economics, 2(4), 267–280. http://doi.org/10.1002/(SICI)1099- 1158(199710)2:4<267::AID-JFE57>3.0.CO;2-J
Echeverri, O. (2012). Una prueba de la eficiencia d ´ ebil en el mercado accionario Colombiano es Ojeda Echeverri.
Fama, E. F. (1970). Session topic: stock market price behavior. The Journal of Finance, 25(2), 383–417.
Fernández-Rodrıguez, F., González ́ -Martel, C., & Sosvilla-Rivero, S. (2000). On the profitability of technical trading rules based on artificial neural networks: Economics Letters, 69(1), 89–94. http://doi.org/10.1016/S0165-1765(00)00270-6
Glabadanidis, P. (2014). The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes. International Review of Finance, 14(2), 161–202. http://doi.org/10.1111/irfi.12018
James, F. E. (1968). Monthly Moving Averages—An Effective Investment Tool? Journal of Financial and Quantitative Analysis. http://doi.org/10.2307/2329816
Jensen, M. C. (1978). Some Anomalous Evidence Regarding Market Efficiency. Journal of Financial Economics, 6(2/3), 95–101.
Leuthold, R. M. (1972). Random Walk And Price Trends: The Live Cattle Futures Market. Journal of Finance, 27(4), 879–889
Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). A test of futures market disequilibrium using twelve different technical trading systems. Applied Economics. http://doi.org/10.1080/00036848800000113
Ojeda Echeverri, C. A. (2012). Una prueba de la eficiencia débil en el mercado accionario Colombiano (Tesis de Maestría). Facultad de Ciencias, Escuela de Estadística. Medellín, Colombia: Universidad Nacional de Colombia.
Park, C. H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21(4), 786–826. http://doi.org/10.1111/j.1467- 6419.2007.00519.x
Ready, M. J. (1998). Profits From Technical Trading Rules. Financial Management.
White, H. (2000). A Reality Check for Data Snooping. Econometrica, 68(5), 1097–1126. http://doi.org/10.1111/1468-0262.00152
Zhang, Z. (2013). Finance - Fundamental Problems and Solutions . New York, United States
263142
TE08830
url http://hdl.handle.net/10818/29348
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dc.publisher.es_CO.fl_str_mv Universidad de La Sabana
dc.publisher.program.none.fl_str_mv Economía y Finanzas Internacionales
dc.publisher.department.none.fl_str_mv Escuela Internacional de Ciencias Económicas y Administrativas
dc.source.none.fl_str_mv Universidad de La Sabana
Intellectum Repositorio Universidad de la Sabana
institution Universidad de la Sabana
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spelling Guevara Castañeda, Diego AlejandroMedellín Aroz, Paula AndreaCortés Andrade, Juan SantiagoEconomista con énfasis en Finanzas Internacionales.2017-01-18T15:09:15Z2017-01-18T15:09:15Z2017-01-182017Agudelo Rueda, D. A., & Uribe Estrada, J. H. (2009, May 30). ¿Realidad o Sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas. 189-217. Medellín, Colombia: EAFIT.Allen, F., & Karjalainen, R. (1999). Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Instituti. Journal of Financial Economics, 51(2), 245–271. http://doi.org/10.1016/S0304-405X(98)00052-XAutorregulador del Mercado de Valores de Colombia. (2010). AMV. Retrieved December 6, 2016, from Ventas en Corto: Análisis comparativo y Propuesta para su implementación en el mercado de valores colombiano: http://amvcolombia.org.co/attachments/data/20101001212256.pdfBanco de la República de Colombia. (n.d.). Índices del mercado bursátil colombiano. Retrieved September 22, 2016, from Banco de la República: http://www.banrep.gov.co/es/igbcBanco de la República de Colombia. (2016). Tasa de intervención de política monetaria del Banco de la República . Retrieved August 15, 2016, from Tasas de intervención: http://www.banrep.org/es/tasa-intervencion-politica-monetariaBrock, W., Lakonishok, J., & LeBaron, B. (1992a). Simple Technical Trading Rules and The Stochastic Properties od Stock Returns. Journal of Finance, 47(5), 1731–1764.Brock, W., Lakonishok, J., & LeBaron, B. (1992b). Simple Technical Trading Rules and The Stochastic Properties of Stock Returns. Journal of Finance, 47(5), 1731–1764.Chong, T. T., & Leung, K. A. W. A. I. (2011). Is the Rate-of-Change Oscillator Profitable ?, 72–75.Coutts, J. A. (2010). Trading rules and stock returns: some further short run evidence from the Hang Seng 1997–2008. Applied Financial Economics, 20(1992), 1667–1672. http://doi.org/10.1080/09603107.2010.524613Coutts, J. A., & Cheung, K.-C. (2000). Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985-1997. Applied Financial Economics, 10(6), 579– 586. http://doi.org/10.1080/096031000437935Curcio, R., Goodhart, C., Guillaume, D., & Payne, R. (1997). Do technical trading rules generate profits? Conclusions from the intra-day foreign exchange market. International Journal of Finance & Economics, 2(4), 267–280. http://doi.org/10.1002/(SICI)1099- 1158(199710)2:4<267::AID-JFE57>3.0.CO;2-JEcheverri, O. (2012). Una prueba de la eficiencia d ´ ebil en el mercado accionario Colombiano es Ojeda Echeverri.Fama, E. F. (1970). Session topic: stock market price behavior. The Journal of Finance, 25(2), 383–417.Fernández-Rodrıguez, F., González ́ -Martel, C., & Sosvilla-Rivero, S. (2000). On the profitability of technical trading rules based on artificial neural networks: Economics Letters, 69(1), 89–94. http://doi.org/10.1016/S0165-1765(00)00270-6Glabadanidis, P. (2014). The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes. International Review of Finance, 14(2), 161–202. http://doi.org/10.1111/irfi.12018James, F. E. (1968). Monthly Moving Averages—An Effective Investment Tool? Journal of Financial and Quantitative Analysis. http://doi.org/10.2307/2329816Jensen, M. C. (1978). Some Anomalous Evidence Regarding Market Efficiency. Journal of Financial Economics, 6(2/3), 95–101.Leuthold, R. M. (1972). Random Walk And Price Trends: The Live Cattle Futures Market. Journal of Finance, 27(4), 879–889Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). A test of futures market disequilibrium using twelve different technical trading systems. Applied Economics. http://doi.org/10.1080/00036848800000113Ojeda Echeverri, C. A. (2012). Una prueba de la eficiencia débil en el mercado accionario Colombiano (Tesis de Maestría). Facultad de Ciencias, Escuela de Estadística. Medellín, Colombia: Universidad Nacional de Colombia.Park, C. H., & Irwin, S. H. (2007). What do we know about the profitability of technical analysis? Journal of Economic Surveys, 21(4), 786–826. http://doi.org/10.1111/j.1467- 6419.2007.00519.xReady, M. J. (1998). Profits From Technical Trading Rules. Financial Management.White, H. (2000). A Reality Check for Data Snooping. Econometrica, 68(5), 1097–1126. http://doi.org/10.1111/1468-0262.00152Zhang, Z. (2013). Finance - Fundamental Problems and Solutions . New York, United Stateshttp://hdl.handle.net/10818/29348263142TE0883025 páginas.In this study, we test for the weak market efficiency hypothesis in the Colombian stock market through two technical analysis strategies, Simple Moving Averages and Moving Average Convergence and Divergence, on eighteen stocks that have been part for a longer period of time in the COLCAP index. By simulating buy and sell positions under each strategy, it is found that none the strategies generate returns higher than the passive strategy obtained using the Capital Asset Pricing Model, besides, the returns obtained from the strategies are negative. In this sense, these technical analysis strategies are not profitable on the Colombian stock market. ​​engUniversidad de La SabanaEconomía y Finanzas InternacionalesEscuela Internacional de Ciencias Económicas y AdministrativasUniversidad de La SabanaIntellectum Repositorio Universidad de la SabanaBolsa de valores -- ColombiaMercado de valores -- ColombiaAcciones (Bolsa) -- ColombiaDoes technical analysis generate profitability in the colombian stock market?bachelorThesisTesis de pregradopublishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_7a1fhttp://purl.org/coar/access_right/c_abf2TEXTPaula Andrea Medellín Aroz (Tesis).pdf.txtPaula Andrea Medellín Aroz (Tesis).pdf.txtExtracted Texttext/plain48000https://intellectum.unisabana.edu.co/bitstream/10818/29348/5/Paula%20Andrea%20Medell%c3%adn%20Aroz%20%28Tesis%29.pdf.txt7c9326be7bb887459f3a7ab281d681a4MD55ORIGINALPaula Andrea Medellín Aroz (Tesis).pdfPaula Andrea Medellín Aroz (Tesis).pdfVer documento en PDFapplication/pdf738084https://intellectum.unisabana.edu.co/bitstream/10818/29348/1/Paula%20Andrea%20Medell%c3%adn%20Aroz%20%28Tesis%29.pdf35cf3891135dd9a618786d7e29836f62MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-81223https://intellectum.unisabana.edu.co/bitstream/10818/29348/2/license_rdf7c9ab7f006165862d8ce9ac5eac01552MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-8498https://intellectum.unisabana.edu.co/bitstream/10818/29348/3/license.txtf52a2cfd4df262e08e9b300d62c85cabMD53Paula Andrea Medellín Aroz (Carta).pdfPaula Andrea Medellín Aroz (Carta).pdfapplication/pdf148204https://intellectum.unisabana.edu.co/bitstream/10818/29348/4/Paula%20Andrea%20Medell%c3%adn%20Aroz%20%28Carta%29.pdf21397c15a391f16f203b66806ebb5d9cMD5410818/29348oai:intellectum.unisabana.edu.co:10818/293482018-08-22 18:17:48.181Intellectum Universidad de la Sabanacontactointellectum@unisabana.edu.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