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Sistemas técnicos de trading no mercado de ações brasileiro : testando a hipótese de eficiência de mercado em sua forma fraca e avaliando se a análise técnica agrega valor

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  • Guedine Serafine, Daniel
  • Pereira, Pedro Luiz Valls

Abstract

O objetivo deste trabalho é examinar se a análise técnica agrega valor àsdecisões de investimentos. Através da elaboração de intervalos de confiança,construídos através da técnica de Bootstrap de inferência amostral, e consistentes com ahipótese nula de eficiência de mercado na sua forma fraca, foram testados 4 sistemastécnicos de trading. Mais especificamente, obteve-se os resultados de cada sistemaaplicado às series originais dos ativos. Então, comparou-se esses resultados com amédia dos resultados obtidos quando os mesmos sistemas foram aplicados a 1000 sériessimuladas, segundo um random walk, de cada ativo. Caso os mercados sejam eficientesem sua forma fraca, não haveria razão para os resultados das séries originais seremsuperiores aos das séries simuladas. Os resultados empíricos encontrados sugeriram queos sistemas testados não foram capazes de antecipar o futuro utilizando-se apenas dedados passados. Porém, alguns deles geraram retornos expressivos

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 260.

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Date of creation: 29 Jun 2010
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Handle: RePEc:fgv:eesptd:260

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  1. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
  2. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2007. "Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability," Working Papers Series, Central Bank of Brazil, Research Department 151, Central Bank of Brazil, Research Department.
  3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  4. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 469-82, May.
  5. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, American Finance Association, vol. 41(1), pages 163-82, March.
  6. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
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