Wykorzystanie metody bootstrapowej do badania zyskowności wybranych strategii inwestycyjnych na Giełdzie Papierów Wartościowych w Warszawie
An Application of the Bootstrap Method for Testing the Profitability of Selected Investment Strategies on the Warsaw Stock Exchange
Author(s): Marcin SalamagaSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
Keywords: technical analysis; moving average; bootstrap method; GARCH model
Summary/Abstract: The paper presents selected technical trading rules on the Polish stock market along with an estimate of the market’s profitability. Technical trading rules allow one to forecast changes to a stock price and identify buy and sell signals on Warsaw Stock Exchange. To do so, variable-length moving averages are applied to the main Polish stock indexes. To evaluate the economic effectiveness of the technical trading rules, t-statistics are used for testing the significance of the differences between average returns and the bootstrap techniques.
Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
- Issue Year: 928/2014
- Issue No: 04
- Page Range: 127-142
- Page Count: 16
- Language: Polish