Technical analysis in the Madrid stock exchange

Fernando Fernández-Rodríguez, Simon Sosvilla-Rivero () and Julian Andrada-Felix ()

No 99-05, Working Papers from FEDEA

Abstract: 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 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 (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
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