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

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Innovation Management, Development Sustainability, and Competitive Economic Growth

ISBN

978-0-9860419-8-3

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

2869-2877

Název nakladatele

International Business Information Management Association

Místo vydání

Norristown

Místo konání akce

Seville, Spain

Datum konání akce

9. 11. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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