SIMPLE TRADING RULES: TRADING ON IBEX AT MEFF

Fernando Rubio Fernandez ()

Finance from University Library of Munich, Germany

Abstract: Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are contrasted with the return of a simple of buy-and-hold strategy. Results show that if the investor follows the analyzed trading strategies, he or she will get a better return than the index in a up- market but a significant worst return in a down-market. So, finally, indexing is the best option compared with these trading strategies. In a formal test, signals from these rules are included in an OLS model trying to explain daily returns. Results show that signals can no explain the variance of returns. Finally, it is concluded that the market it is efficient because there is no proof that the contrary could be happening.

Keywords: Spain; Ibex; futures; trading; MEFF; strategies (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2004-02-01, Revised 2005-07-28
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: Type of Document - pdf; prepared on WinXP; pages: 17
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0402001

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