The Weak Form of the Efficient Market in the Spanish Stock Market: A Study Based on Use of Active Strategies Management High Frequency Data
Revista International Administración & Finanzas, Vol. 5, No. 2, pp. 1-14, 2012
14 Pages Posted: 5 Jan 2012
Date Written: 2012
The aim of this paper is to evaluate the impact of temporary frequency data used for the calculation of moving averages on the implementation of active strategies. We analyze if the use of different frequency moving averages (1 and 15 minutes) have a significant impact on the yields earned with the investment technique. We analyze differences between yields of a passive strategy and yields obtained through a moving averages strategy. Finally, we compare the risk of an active strategy with that of a passive strategy.
Note: Downloadable document is in Spanish.
Keywords: high frequency data, moving averages, efficient market
JEL Classification: G14
Suggested Citation: Suggested Citation