37
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Estabilidad de las Estrategias de Inversión con medias móviles

Stability of Investements Strategies Based on Moving Averages

&
Pages 849-873 | Received 10 Oct 2002, Accepted 11 Mar 2005, Published online: 15 Jan 2014

BIBLIOGRAFÍA

  • Allen, F., y Karjalainen, R. [1999]: «Using genetic algorithms to find technical trading rules», Journal of Financial Economics, 51, pp. 245–271.
  • Ariel, R. A. [1987]: «A Monthly Effect in Stock Returns», Journal of Financial Economics, 18, pp. 161–174.
  • Ariel, R. A. [1990]: «High stock returns before holidays: existence and evidence on possible causes», Journal of Finance, Vol. 45, n.° 5, Diciembre, pp. 1611–1626.
  • Ayuso, J.; Núñez, S., y Pérez, M. [1996]: Volatility in Spanish financial markets: the recent experience, Banco de España, Documento de Trabajo n.° 9601.
  • Bessembinder, H., y Chan, K. [1995]: «The profitability of technical trading rules in the Asian stock markets», Pacific-Basin Finance Journal, Vol. 3, n.° 2–3, Julio, pp. 257–284.
  • Bessembinder, H., y Chan, K. [1998]: «Market efficiency and the returns to technical analysis», Financial Management, Vol. 27, n.° 2, pp. 5–17.
  • Borrell, M.; Murillo, C.; Pérez, J., y Torra, S. [1997]: Estadística Financiera. Aplicación a la formación y gestión de carteras de renta variable, Centro de Estudios Ramón Areces, Madrid.
  • Brock, W.; Lakonishok, J. y Lebaron, B. [1992]: «Simple Technical Trading Rules and the Stochastic Properties of Stock Returns», Journal of Finance, n.° 5, pp. 1731–1764.
  • Coutts, J. A., y Cheung, K. C. [2000]: «Trading rules and stock returns: some preliminary short run evidence from the Hang Seng 1985–1997», Applied Financial Economics, Vol. 10, n.° 6, Diciembre, pp. 579–586.
  • Cross, F. [1973]: «The Behavior of Stock Prices on Fridays and Mondays», Financial Analysts Journal, Noviembre-Diciembre, pp. 67–69.
  • De bondt, W. F. M., y Thaler, R. H. [1985]: «Does the Stock Market Overreact?», Journal of Finance, Vol. 40, n.° 3, Julio, pp. 793–808.
  • Efron, B. [1982]: The Jackknife, The Bootstrap, and Other Resampling Plans, Society for Industrial and Applied Mathematics, Philadelphia.
  • Fama, E. F. [1965]: «The Behavior of Stock Market Prices», Journal of Business, Enero, pp. 34–105.
  • Fama, E. F. [1970]: «Efficient Capital Markets: A Review of Theory and Empirical Work», Journal of Finance, Mayo, pp. 383–417.
  • Fama, E. F. [1991]: «Efficient Capital Markets: II», Journal of Finance, 5, Diciembre, pp. 1575–1617.
  • Fama, E. F., y French, K. R. [1986]: «Pernanent and temporary components of stock prices», Journal of Political Economy, 98, pp. 246–274.
  • Feng, C., y Smith, S. [1997]: Jump Risk, Time-Varying Risk Premia, and Technical Trading Profits, Federal Reserve Bank of Atlanta, Working Paper 97–17.
  • Fernández, F.; González, C., y Sosvilla, S. [2001]: Optimisation of technical rules by genetic algorithms: Evidence from Madrid stock market, FEDEA, documento de trabajo 2001–14, Agosto.
  • Fernández, F.; Sosvilla, S., y Andrada, J. [2001]: «Technical analysis in the Madrid stock exchange», Moneda y Crédito, n.° 213, pp. 11–37.
  • Fisher, L. [1966]: «Some new stock-market indexes», Journal of Business, 39, pp. 191–225.
  • Freedman, D., y Peters, S. [1984a]: «Bootstraping a regression equation: Some empirical results», Journal of the American Statistical Society, 79, pp. 97–106.
  • Freedman, D., y Peters, S. [1984b]: «Bootstraping an econometric model: Some empirical results», Journal of Business and Economic Statistics, 2, pp. 150–158.
  • Gençay, R. [1998]: «Optimization of technical trading strategies and the profitability in security markets», Economics Letters, 59, pp. 249–254.
  • Gómez-Bezares, F. [2000]: Gestion de Carteras, Desclée, Bilbao, 2.a Edición.
  • Gómez-Bezares, F.; Madariaga, J. A., y Ugarte, J. V. [1988]: «La eficiencia en el mercado bursátil español», Actualidad Financiera, 42, Noviembre, pp. 2238–2250.
  • Hall, P. [1988]: «Theoretical Comparisons of Bootstrap Confidence Intervals», The Annals of Statistics, n.° 16, pp. 927–953.
  • Harris, L. [1988]: «Intra-day stock return patterns», Stock Market Anomalies, Dimson (Ed.), Cambridge University Press.
  • Hudson, R.; Dempsey, M., y Keasey, K. [1996]: «A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices (1935–1994)», Journal of Banking and Finance, n.° 6, pp. 1121–1132.
  • Ito, A. [1999]: «Profits on technical trading rules and time-varying expected returns: Evidence from Pacific-Basin equity markets», Pacific-Basin Finance Journal, 7, pp. 283–330.
  • Lebaron, B. [1998]: Technical trading rules and regime shifts in foreing exchange, Advanced Trading Rules, Acar, E., y Satchell, S. (Eds.): Butterworth-Heinemann, pp. 5–40.
  • Lebaron, B. [1999]: «The Stability of Moving Average Technical Trading Rules on the Dow Jones Index», NBER working paper, August.
  • León, A., y Mora, J. [1999]: «Modelling conditional heteroskedasticity: Application to the IBEX-35 stock-return index», Spanish Economic Review, n.° 1, pp. 215–238.
  • Lo, A. W., y Mackinlay, A. C. [1988]: «Stock market prices do not follow ramdom walk: Evidence from a simple specification test», Review of Financial Studies, 1, pp. 41–66.
  • Martínez, E., y Morales, A. [1992]: «Eficacia de las estrategias de inversión con medias móviles», Análisis Financiero, n.° 58, pp. 84–94.
  • Martínez, E., y Morales, A. [1993]: «Medias móviles y futuro sobre el Ibex», Análisis Financiero, n.° 61, pp. 96–101.
  • Neto, J., y Oliveira, J. [1999]: «Evaluating the Performance of Moving Average Trading Rules», Portuguese Review of Financial Markets, n.° 1, pp. 5–14.
  • Poterba, J. M., y Summers, L. [1988]: «Mean revearsion in stock prices: Evidence and implications», Journal of Financial Economics, Vol. 22, pp. 27–59.
  • Ratner, M., y Leal, R. [1999]: «Tests of technical trading strategies in the emerging equity markets of Latin America and Asia», Journal of Banking and Finance, n.° 12, pp. 1887–1905.
  • Reinganum, M. R. [1991]: «El colapso de la hipótesis del mercado eficiente», Análisis Financiero, n.° 55, pp. 30–37.
  • Roberts, H. W. [1967]: Statistical versus clinical prediction of the stock market, documento no publicado presentado al seminario sobre análisis de los precios de los títulos, Universidad de Chicago, Mayo.
  • Ros, G. [1994]: «Análisis de la efectividad de osciladores técnicos», Análisis Finaciero, n.° 64, pp. 40–53.
  • Rozeff, M., y Kinney, W. [1976]: «Capital Market Seasonality: The Case of Stock Returns», Journal of Financial Economics, 3, pp. 379–402.
  • Sullivan, R.; Timmermann, A., y White, H. [1999]: «Data-Snooping, Technical Trading Rule Performance, and the Bootstrap», Journal of Finance, n.° 5, pp. 1647–1691.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.