FEDEA Working Paper No. 99-05
29 Pages Posted: 25 Jul 2001
Date Written: April 1999
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: 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