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Technical Analysis in the Madrid Stock Exchange

FEDEA Working Paper No. 99-05

29 Pages Posted: 25 Jul 2001  

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Simón Sosvilla Rivero

Complutense Institute for International Studies

Julián Andrada Félix

University of Las Palmas de Gran Canaria - Faculty of Economic Science

Date Written: April 1999

Abstract

In this paper we assess whether some simple forms of technical analysis can predict stock price movements in the Madrid Stock Exchange. To that end, we use daily data for General Index of the Madrid Stock Exchange, covering the thirty-one-year period from January 1966-October 1997.

Our results provide strong support for profitability of these technical trading rules. By making use of bootstrap techniques, we show that returns obtained from these trading rules are not consistent with several null models frequently used in finance, such as AR(1). GARCH and GARCH-M.

Keywords: Stock market, Technical trading rules

JEL Classification: G12, G15

Suggested Citation

Fernández Rodríguez, Fernando and Sosvilla Rivero, Simón and Andrada Félix, Julián, Technical Analysis in the Madrid Stock Exchange (April 1999). FEDEA Working Paper No. 99-05. Available at SSRN: https://ssrn.com/abstract=275250 or http://dx.doi.org/10.2139/ssrn.275250

Fernando Fernández Rodríguez

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

Campus de Tafira
E-35017 Las Palmas
Spain
+34 928 45 18 02 (Phone)
+34 928 45 18 29 (Fax)

Simón Javier Sosvilla Rivero (Contact Author)

Complutense Institute for International Studies ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

Julián Andrada Félix

University of Las Palmas de Gran Canaria - Faculty of Economic Science ( email )

E-35017 Las Palmas
Spain
+34 928 45 59 89 (Phone)
+34 928 45 18 29 (Fax)

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