bachelorThesis
Does technical analysis generate profitability in the colombian stock market?
Fecha
2017Registro en:
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.
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.
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.
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
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.
Ready, M. J. (1998). Profits From Technical Trading Rules. Financial Management.
Zhang, Z. (2013). Finance - Fundamental Problems and Solutions . New York, United States
263142
TE08830
Autor
Guevara Castañeda, Diego Alejandro
Institución
Resumen
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.