THE WEAK FORM OF THE EFFICIENT MARKET IN THE SPANISH STOCK MARKET: A STUDY BASED ON USE OF ACTIVE STRATEGIES MANAGEMENT HIGH FREQUENCY DATA, LA HIPOTESIS DEBIL DE EFICIENCIA EN EL MERCADO BURSATIL ESPANOL: USO DE ESTRATEGIAS ACTIVAS DE INVERSION CON DATOS DE ALTA FRECUENCIA

Vicente Ruiz-Herrán (), Miguel Angel Pérez-Martínez and Aitziber Olasolo Sogorb

Revista Internacional Administracion & Finanzas, 2012, vol. 5, issue 2, 1-14

Abstract: The aim of this paper is to evaluate the impact of temporary frequency data used for the calculation of moving averages on the implementation of active strategies. We analyze if the use of different frequency moving averages (1 and 15 minutes) have a significant impact on the yields earned with the investment technique. We analyze differences between yields of a passive strategy and yields obtained through a moving averages strategy. Finally, we compare the risk of an active strategy with that of a passive strategy.

Keywords: high frequency data; moving averages; efficient market (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012
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