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Technical Analysis in the Madrid Stock Exchange

Abstract - Introduction

Data and technical trading rules

Preliminary empirical results

Bootstrap results

AR(1) Process

GARCH/GARC

H M Process

Concluding remarks

References

Books Related

Mercati e Finanza

Technical Analysis in the Madrid Stock Exchange

Keywords: Stock market; Technical trading rules; Modelli GARCH; Analisi Tecnica Avanzata

In this paper we assesss 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 thirtyone- year period from January 1966-October 1997.

This Paper can be referred at as FEDEA Working Paper 99-05. The Spanish version of the paper has been publish with the title "Analisis Tecnico en la Bolsa de Madrid" in Moneda y Crédito (2001, No. 213, pp.11-37).

By F. Fernández, S. Sosvilla and J. Andrada

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