Buying Stock Market Winners on Warsaw Stock Exchange - Quantitative Backtests of a Short Term Trend Following Strategy

• Autorzy: Aleksander Fafuła , Krzysztof Drelczuk
• Języki publikacji: EN

Abstrakty

EN

This paper focuses on one of the most popular issues in the Polish finance - is the 'buying stock market winners' profitable on the Warsaw Stock Exchange? This study tested whether Ichimoku trend following strategy performed better than simple buy & hold benchmark. For automated backtests WIG30 index components in the period 2012-12-28 to 2015-05- 06 were used. The empirical results suggest that buying recent "winners" is very ineffective. These preliminary findings may imply contrarian nature of the short-term Polish financial market(original abstract)

Słowa kluczowe

EN

Stock exchange

PL

Giełda

• Czasopismo: Annals of Computer Science and Information Systems
• Rocznik: 2015
• Tom: 5
• Strony: 1361--1366

Twórcy

autor

Aleksander Fafuła

• Wrocław University of Economics, Poland

autor

Krzysztof Drelczuk

• Wrocław University of Economics, Poland

Bibliografia

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Identyfikatory

DOI

10.15439/2015F338