Does technical analysis generate profitability in the colombian stock market?
25 páginas.
- Autores:
- 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:
- https://hdl.handle.net/10818/29348
- Palabra clave:
- Bolsa de valores -- Colombia
Mercado de valores -- Colombia
Acciones (Bolsa) -- Colombia
- Rights
- License
- openAccess
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| dc.title.none.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.contributor.none.fl_str_mv |
Guevara Castañeda, Diego Alejandro |
| 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.none.fl_str_mv |
2017-01-18T15:09:15Z 2017-01-18T15:09:15Z 2017-01-18 2017 |
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Tesis/Trabajo de grado - Pregrado http://purl.org/coar/resource_type/c_7a1f http://purl.org/coar/version/c_970fb48d4fbd8a85 Texto info:eu-repo/semantics/bachelorThesis http://purl.org/redcol/resource_type/TP |
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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-Rodr¿guez, 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 https://hdl.handle.net/10818/29348 263142 TE08830 |
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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-Rodr¿guez, 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 |
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Does technical analysis generate profitability in the colombian stock market?Bolsa de valores -- ColombiaMercado de valores -- ColombiaAcciones (Bolsa) -- Colombia25 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. ¿¿Universidad de La SabanaEconomía y Finanzas InternacionalesEscuela Internacional de Ciencias Económicas y AdministrativasGuevara Castañeda, Diego AlejandroMedellín Aroz, Paula AndreaCortés Andrade, Juan Santiago2017-01-18T15:09:15Z2017-01-18T15:09:15Z2017-01-182017Tesis/Trabajo de grado - Pregradohttp://purl.org/coar/resource_type/c_7a1fhttp://purl.org/coar/version/c_970fb48d4fbd8a85Textoinfo:eu-repo/semantics/bachelorThesishttp://purl.org/redcol/resource_type/TPapplication/pdfAgudelo 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-Rodr¿guez, 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 Stateshttps://hdl.handle.net/10818/29348263142TE08830Universidad de La SabanaIntellectum Repositorio Universidad de la SabanaengopenAccesshttp://purl.org/coar/access_right/c_abf2oai:intellectum.unisabana.edu.co:10818/293482025-12-15T17:46:59Z |