Conditional predictability of assets returns: a dynamic approach

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Conditional predictability of assets returns: a dynamic approach

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Conditional predictability of assets returns: a dynamic approach

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

265-273

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

25. 5. 2021

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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