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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

Author

Listed:
  • Vicente Ruiz Herran
  • Miguel Angel Perez Martinez
  • Aitziber Olasolo Sogorb

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.

Suggested Citation

  • Vicente Ruiz Herran & Miguel Angel Perez Martinez & Aitziber Olasolo Sogorb, 2012. "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 Esp," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 5(2), pages 1-14.
    • Handle: RePEc:ibf:riafin:v:5:y:2012:i:2:p:1-14
    as

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    References listed on IDEAS

    as
    1. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
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    5. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    7. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
    8. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272.
    9. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    10. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    high frequency data; moving averages; efficient market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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