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Análisis de la efectividad y estabilidad de una combinación de indicadores de Análisis Técnico (Estocástico y el Índice de Fuerza Relativa) en el mercado accionario colombiano en el Período 2009 – 2019

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dc.contributor.advisorVillota Gómez, Andrés Gerardospa
dc.contributor.advisorGarcía Molina, Mariospa
dc.contributor.authorRomero Oses, Juan Sebastianspa
dc.date.accessioned2021-01-22T17:18:08Zspa
dc.date.available2021-01-22T17:18:08Zspa
dc.date.issued2020-10-20spa
dc.description.abstractEl objetivo de la presente investigación es analizar el efecto de una combinación de indicadores técnicos en el mercado accionario colombiano en términos de efectividad y estabilidad durante el periodo 2009-2019. Para tal fin se utilizaron dos indicadores populares y que han demostrado en diversas investigaciones obtener buenos resultados como el Índice de Fuerza Relativa y el Indicador Estocástico para generar un solo indicador, el cual se va a llamar combinación. Las rentabilidades obtenidas fueron comparadas con la estrategia pasiva y los resultados fueron contrastados con la Hipótesis de Mercados Eficientes y la Teoría de la Caminata aleatoria mediante pruebas de robustez y simulación Bootstrapping para validar la significancia estadística de los resultados. La evidencia empírica de la investigación sugiere que, luego de incluir los costos de transacción, tanto la combinación como los indicadores técnicos por separado no superaron de manera efectiva y estable a la estrategia pasiva.spa
dc.description.abstractThe objective of this research is to analyses the effect of a combination of technical indicators on the Colombian stock market in terms of effectiveness and stability during the 2009-2019 period. For this purpose, two popular indicators were used that have been shown in many researches to obtain good results such as the Relative Strength Index and the Stochastic Indicator to generate a single indicator, this is called combination. The yields obtained were compared with the passive strategy and the results were contrasted with the Efficient-Market Hypothesis and the Theory of the Random Walk through robustness tests and Bootstrapping simulation to validate the statistical significance of the results. Empirical evidence from the research suggests that, after including transaction costs, both the combination and the separate technical indicators do not effectively and stably beat the passive strategy.spa
dc.description.additionalLínea de Investigación: Gestión Financieraspa
dc.description.degreelevelMaestríaspa
dc.format.extent111spa
dc.format.mimetypeapplication/pdfspa
dc.identifier.urihttps://repositorio.unal.edu.co/handle/unal/78878
dc.language.isospaspa
dc.publisher.branchUniversidad Nacional de Colombia - Sede Bogotáspa
dc.publisher.departmentEscuela de Administración y Contaduría Públicaspa
dc.publisher.programBogotá - Ciencias Económicas - Maestría en Administraciónspa
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dc.relation.referencesZuluaga, M., & Velasquez, J. (2007). Selección de indicadores técnicos para la negociación en el mercado cambiario colombiano I: Comportamientos individuales. Dyna, 74(152), 9–20. Retrieved from http://www.redalyc.org/articulo.oa?id=49615203spa
dc.rightsDerechos reservados - Universidad Nacional de Colombiaspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessspa
dc.rights.licenseAtribución-NoComercial-SinDerivadas 4.0 Internacionalspa
dc.rights.spaAcceso abiertospa
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/spa
dc.subject.ddc330 - Economía::332 - Economía financieraspa
dc.subject.proposalAnálisis Técnicospa
dc.subject.proposalTechnical Analysiseng
dc.subject.proposalEfectividadspa
dc.subject.proposalEffectivenesseng
dc.subject.proposalStabilityeng
dc.subject.proposalEstabilidadspa
dc.subject.proposalCombinación de Indicadoresspa
dc.subject.proposalCombined Indicatorseng
dc.subject.proposalMercado accionariospa
dc.subject.proposalStock Marketeng
dc.subject.proposalColombiaeng
dc.subject.proposalColombiaspa
dc.titleAnálisis de la efectividad y estabilidad de una combinación de indicadores de Análisis Técnico (Estocástico y el Índice de Fuerza Relativa) en el mercado accionario colombiano en el Período 2009 – 2019spa
dc.typeTrabajo de grado - Maestríaspa
dc.type.coarhttp://purl.org/coar/resource_type/c_bdccspa
dc.type.coarversionhttp://purl.org/coar/version/c_ab4af688f83e57aaspa
dc.type.contentTextspa
dc.type.driverinfo:eu-repo/semantics/masterThesisspa
dc.type.versioninfo:eu-repo/semantics/acceptedVersionspa
oaire.accessrightshttp://purl.org/coar/access_right/c_abf2spa

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