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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

Listed author(s):
  • Serafini, Daniel Guedine
  • Pereira, Pedro L. Valls

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

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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
Handle: RePEc:fgv:eesptd:260
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  1. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
  2. Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
  3. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
  4. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
  5. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2007. "Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability," Working Papers Series 151, Central Bank of Brazil, Research Department.
  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.
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