文章基本信息

标题：Dynamic Portfolio Management Strategies based on the Use of Moving Averages
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作者：Vicente Ruiz ; Vicente Ruiz ; Miguel A. Pérez 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2014
卷号：109
页码：1277-1281
DOI：10.1016/j.sbspro.2013.12.624
语种：English
出版社：Elsevier
摘要：AbstractThe financial literature contains numerous empirical studies that consider the dependency found in the movements of stock market prices to be insignificant, concluding that historical series of prices do not sufficiently explain their future development. However, other authors have found the dependency in such movements to be significant, thus refuting the random walk hypothesis of stock market prices. In a context of portfolio management, the purpose of this study is to determine whether the weak efficient market hypothesis is fulfilled for the case of the Spanish Future Stock Market. The study has been realized from the intraday quotations of IBEX 35 future during the period 2006-2010.
关键词：portfolio management;moving averages;data snooping