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

Identifikátory výsledku

  • Kód výsledku v 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>

  • Výsledek na webu

  • DOI - Digital Object Identifier

Alternativní jazyky

  • 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.

Klasifikace

  • Druh

    D - Stať ve sborníku

  • CEP obor

    BB - Aplikovaná statistika, operační výzkum

  • OECD FORD obor

Návaznosti výsledku

  • Projekt

  • Návaznosti

    S - Specificky vyzkum na vysokych skolach

Ostatní

  • Rok uplatnění

    2016

  • Kód důvěrnosti údajů

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

Údaje specifické pro druh výsledku

  • Název statě ve sborníku

    Innovation Management, Development Sustainability, and Competitive Economic Growth

  • ISBN

    978-0-9860419-8-3

  • ISSN

  • e-ISSN

  • 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