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MAKING MOST OF MOVING AVERAGE MODELS DURING STOCK MARKET ANALYSIS – SELECTION OF THE MODEL AND TIME PERIOD

100%
Letkowski D.
Acta Universitatis Lodziensis. Folia Oeconomica
|
2014
|
vol. 2
|
issue 301
PL
Technical analysis rely on assumption that analysis of past market performance provides possibility for proper stock price forecasting, in particular by identification of buy and sell signals. The article describe main moving average models: simple moving average, weighted moving average and exponential moving average and manner of theirs usage while constructing investment strategy on financial market. The article outlines possibilities and limitations of moving averages usage in investment practice. In addition empirical verification of moving averages is provided for selected polish shares forming index WIG20.
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Badanie stabilności współczynnika beta akcji indeksu WIG20

100%
Letkowski D.
Studia Ekonomiczne
|
2013
|
vol. 174
75-87
EN
The aim of the article is to examine beta coefficient of WIG20's shares stability. Beta coefficient provides systematic risk measurement, so it's stability is a key factor for effective portfolio management based on beta coefficient. Research reveals beta coefficients high volatility throughout test period of 2001-2012, in particular under financial crisis conditions. Proposed beta coefficient stability ranking reflects combined results of different stability measures: standard deviation, coefficient of variation and mean absolute deviation. Stability ranking is a simple approach to gain some level of statistical objectivity. However, in general beta coefficients of WIG20's shares are highly volatile, what can affect investment portfolio risk and return management.
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