Conditional predictability of assets returns: a dynamic approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10248830" target="_blank" >RIV/61989100:27510/21:10248830 - isvavai.cz</a>
Result on the web
<a href="https://drive.google.com/file/d/1wV66Mqrrm_uJPpFqmyREvHX0NqUHo8aO/view" target="_blank" >https://drive.google.com/file/d/1wV66Mqrrm_uJPpFqmyREvHX0NqUHo8aO/view</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Conditional predictability of assets returns: a dynamic approach
Original language description
The efficient market hypothesis is one of the approaches to explain asset price movements in stock markets. However, the reality empirically observed in stock markets israther in line with the adaptive market hypothesis. Statistical tests, which are aimed at verifying the properties of efficient market models, are mainly focused on testing the predictability of returns. The BDS test is one of the strongest nonlinear tests that verify the first type random walk model. When using this test, it is possible to verify whether the returns are conditionally predictable. The object of this paper is the stock markets in the Czech Republic and Poland, which are approximated by their main indices. This paper aims to verify the conditional predictability of the returns of the PX and WIG20 indices using the BDS test. The dynamics of development over time in the period 2004-2017 will be monitored. The results show that there were identified periods when returns are conditionally predictable, but also periods when they are not predictable. The results differ for both indices. Based on the results, it would be possible to define a potentially profitable trading strategy.
Czech name
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Czech description
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Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 14th International Conference Strategic Management and its Support by Information Systems 2021: May 25-26, 2021, Ostrava, Czech Republic
ISBN
978-80-248-4521-0
ISSN
2570-5776
e-ISSN
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Number of pages
9
Pages from-to
265-273
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 25, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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