La hipótesis débil del mercado eficienteanálisis intradiario del indicador técnico MACD en el mercado de futuros sobre el IBEX-35
- Silva, Emilio José de Castro (coord.)
- Díaz de Castro, Francisco José (coord.)
Publisher: Asociación Española de Dirección y Economía de la Empresa (AEDEM)
ISBN: 978-84-691-5667-4
Year of publication: 2008
Pages: 140-148
Congress: Asociación Europea de Dirección y Economía de Empresa. International Conference AEDEM (17. 2008. Salvador de Bahía)
Type: Conference paper
Abstract
The object of this paper is to analyze the efficiency of the Spanish Stock Market, through the evaluation of oscillator MACD with the purpose of verifying its effectiveness in the Spanish intraday future market. We would like to prove that using it without any other type of complementary information, a greater yield can be obtained than if we carry out a passive strategy consisting in the purchase and maintenance of the assets considered until the conclusion of each session. The effectiveness of this oscillator is evaluated considering in its calculation a wide range of periods. The data base chosen is composed of the intraday quotations of future over IBEX 35 with a regularity of a minute for the horizon between years 2000-2006.