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

See all articles by Vicente Ruiz Herrán

Vicente Ruiz Herrán

Universidad País Vasco

Miguel Angell Perez Martinez

University of the Basque Country

Aitziber Olasolo Sogorb

University of the Basque Country

Date Written: 2012

Abstract

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

Ruiz Herrán, Vicente and Martinez, Miguel Angell Perez and Olasolo Sogorb, Aitziber, The Weak Form of the Efficient Market in the Spanish Stock Market: A Study Based on Use of Active Strategies Management High Frequency Data (2012). Revista International Administración & Finanzas, Vol. 5, No. 2, pp. 1-14, 2012, Available at SSRN: https://ssrn.com/abstract=1953440

Vicente Ruiz Herrán (Contact Author)

Universidad País Vasco ( email )

Barrio Sarriena s/n
Leioa, Bizkaia 48940

Miguel Angell Perez Martinez

University of the Basque Country ( email )

Barrio Sarriena s/n
Leioa, Bizkaia 48940
Spain

Aitziber Olasolo Sogorb

University of the Basque Country ( email )

Barrio Sarriena s/n
Leioa, Bizkaia 48940

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