Análisis Técnico: un estudio de la eficiencia de diferentes técnicas aplicadas sobre acciones pertenecientes a los índices bursátiles estadounidenses Dow Jones Industrial Average y Nasdaq

2003. Revista Estudio de Administración. Vol. 10, N° 2, Pp 59-93

Antonino Parisi F

Abstract:

This study analyzes the efficiency of some technical analyses's tools more used: moving average 2, 10, 50, 100 and 200 days, momentum of 7 days, %R of 10 days, %K of a day and RSI of 10 days. For it one worked with daily prices series of Dow Jones Industrial Average (DJI) and Nasdaq's stocks, corresponding to period January 02 of 1992 -- July 18 of 2002. The results aim at that the best techniques, for the stocks sample analyzed, are %K and %R. These surpass in yield to the other techniques and to the «buy and hold» strategy, have greater stability on the time, and produces the greater abnormal return, still considering the transaction costs. The yield of %K is significantly greater to the one of the other techniques, as much in the DJI's stocks like of the Nasdaq's stocks. Also it was observed that the moving average of 10, 50, 100 and 200 days, the momentum of 7 days and the RSI are statistically equivalent, as far as yield. The results of the study indicate that the technical analysis would not only allow to increase the yield by means of an active management of the investments, but also to reduce the volatileness of the returns and, consequently, the level of assumed risk.

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