Volatility Characteristics of Tertiary Trend on the Czech Stock Market Applicable in Technical Analysis

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F16%3A43930226" target="_blank" >RIV/49777513:23510/16:43930226 - isvavai.cz</a>

Result on the web

—

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Volatility Characteristics of Tertiary Trend on the Czech Stock Market Applicable in Technical Analysis

Original language description

The paper examines the tertiary trend in the development of share prices. Its aim is to characterize the behaviour of tertiary trend based on volatility of share prices, which can be appropriately used to generate "buy and sell" signals and thus to beat the passive strategy of Buy and Hold. The research has monitored several characteristics of volatility of tertiary trend which characterize the trend and indicate that after several days of growth or decline in share prices the trend will change. The main characteristic is the length of the trend; as another characteristic is used accumulated change, i.e. profit or loss and their adjustment - standardized overall or moving standard deviation. In addition to these characteristics, we also marginally examine the impact of monthly anomalies on the movement of share prices. The results of analysis will be used to make decisions on buy and sell signals. Applicability of these characteristics was verified on the shares of 5 companies traded on the stock exchange, namely CEZ, O2, KB, Pegas, and Philip Morris. Data on their daily closing prices from 2006 (with the exception of Pegas whose trading on the stock exchange began in 2008) to 2015 were used for the analysis. They show that the best length of trend for generating buy and sell signals is from 2 to 5 days. For the characteristic of accumulated change, the change between 2% and 6% can be regarded as the best. If we use the standardized accumulated change, buy and sell signals may be generated up to 3 or 4 times (for the moving standard deviation) of standard deviation. We expect that trading based on these signals surpasses the passive strategy of Buy and Hold.

Czech name

—

Czech description

—

Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

Project

—

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Innovation Management, Development Sustainability, and Competitive Economic Growth

ISBN

978-0-9860419-8-3

ISSN

—

e-ISSN

—

Number of pages

9

Pages from-to

2869-2877

Publisher name

International Business Information Management Association

Place of publication

Norristown

Event location

Seville, Spain

Event date

Nov 9, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

—