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Do monthly anomalies still exist as a profitable investment strategy: Evidence based on the Singapore stock market

100%
Nibu Raj A.
Central European Review of Economics & Finance
|
2016
|
issue Vol. 16, No 6
17-32
EN
The presence of various calendar anomalies in the stock markets is a well-documented fact. We focus our efforts through this study to reveal any semi-monthly anomaly or turn of the month anomaly hidden in the Singapore stock market, by analysing the FTSE Strait Times data during the period 1995 to 2015, using both the calendar day approach and trading day approach. The resulting analysis discloses some startling findings including the presence of a 'reverse' turn of the month anomaly. Significant semi-monthly anomaly is not present in the market, even though the mean percentage returns during the first and second half show high relative difference. Based on these findings, a profitable trading strategy evolves which is to purchase shares representative of the index during the turn of the month and to sell them during the first half of the month. This study widens the path for further research regarding these and similar anomalies in related markets around the world.(original abstract)
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Implementacja i ocena systemu eksperckiego sieci neuronowych w analizie rynku akcji

84%
Karczyński T., Radosiński E.
Studia Ekonomiczne
|
2013
|
vol. 154
32-44
EN
The application of neural network system for multi-dimensional stock market data analysis is presented in the paper. Developed system predicts stock price movements based on daily quotation data like: volume, minimum and maximum session price, opening and closing price. Several studies were carried out, to compare systems investment decisions, with decisions that were made on the basis of some commonly used methods of stock market analysis. These methods are: MACD, Bootstrap, Markowitz Portfolio. For valuation purpose, the real stock market data of the four largest Polish companies were used. All companies are quoted on the Warsaw Stock Exchange and belong to the WIG 20 index. For the benchmarking, only stock data from the year 2009 were used. In order to enrich the benchmarking tests, three investment scenarios were added. First known as the skeptical assume that only incorrect investment decisions were made. Second known as the optimistic assume that only correct investment decisions were made. Last one known as passive assume that no investment decision were made - it is so called "buy and hold" conception. The benchmarking results confirmed, that the neural network system is able to make investment decisions, that significantly increase the profitability of the investment portfolio. Neural network system provide investment suggestions, that can be considered as an alternative to other commonly used methods of stock market analysis. However statistical tests proved a high correlation between quality of systems investment decisions and market trend and lack of correlation to the "optimistic" scenario. Neural network systems may help in investment process, but cannot be considered as fully reliable way of investment process automation.
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Instrumenty pochodne - szanse i zagrożenia dla podmiotów gospodarczych

67%
Szydło S., Iwaszczuk N., Iwaszczuk O.
Studia Ekonomiczne
|
2013
|
vol. 145
139-150
EN
In this paper various types of derivative instruments will be studied in terms of their applications in companies and financial institutions. We will discuss among other things: forward contracts, futures contracts, swap and option contracts. In particular, we examine the advantages of their use and the risk they pose. We also analyze the trends that are made in recent years in domestic and global derivative market.
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