Zastosowanie metody średniej kroczącej do badania zyskowności inwestycji na polskim rynku kapitałowym
An application of moving average rules for testing the profitability of Polish stock market

Summary/Abstract: The paper presents selected technical trading rules on the Polish stock market with the estimation of their profitability. Technical trading rules allow for forecasting the changes of stock indexes and to identify the buy and sell signals on the Warsaw Stock Exchange. To achieve it there were used moving average rules. For the evaluation of the economic effectiveness of the technical trading rules there is used the Student’s t-test for testing the significance of the differences between average conditional returns from buy, sell and mixed strategies and unconditional average returns. In the study the author considers the impact of trading costs for individual and institutional investors on the profits generated by the trading rules.

• Details
• Contents