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Evaluation of stock market efficiency and selection of appropriate investment strategy
JAKLOVÁ, Kamila
The main assumption of market efficiency theory is that stock price developments are random. The first mention of this theory comes from the 1950s. The aim of this diploma thesis is to determine the degree of market efficiency based on market efficiency testing. The market can achieve weak forms of efficiency, medium forms of market efficiency and strong forms of efficiency, depending on how quickly stock responds to all information in the market. Market efficiency is tested based on Correlation Test and Runs Test. These are tests focused on the independence of changes in stock prices. The aim of these tests is to describe the relationship between stock prices at time t and t-1. The tests are performed on daily returns of 60 stocks from the five most important areas of the US stock market in the period 1/2015 to 12/2016. These are the areas of Information Technology, the Financial industry, the Pharmaceutical industry, the Food industry, and the Automotive industry. Furthermore, the presence of market anomalies is tested. If these special effects are confirmed, the presence of an efficient market can be refuted. These are the Monday and January effects. Based on the determined market efficiency, investment strategies are assigned to selected areas of the US market. Investment strategies can be divided into two groups of active strategy and passive strategy. The passive strategy assumes of long-term shareholding. An active strategy responds to market signals based on which the investor decides to buy or sell a stock in order to achieve above-average profits. Market buy / sell signals are calculated based on exponential moving averages. These are short-term, medium-term, and long-term moving averages applied to 60 selected stocks.
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Comparison of basic characteristics (income, risks, degrees of effectiveness) in selected sectors and industries Stock Exchange
SAIKO, Michaela
The aim of this diploma work was to analyze a selected segment of the stock exchange market using the theory of market efficiency and the methods of technical and fundamental analysis, to form an optimal investment strategy on the basis of the findings. The American stock exchange market was analyzed. Six different segments of the capital market were selected ? gold, oil and gas pipelines, steel and iron, car parts, food and telecommunication services. Each segment was represented by eight companies. The general characteristics of the companies were compared according to their profits, degree of risk, alpha and beta coefficients. Fundamental analysis was used to monitor the correlation between future profits for 2012 and alpha coefficients for the period 2007 ? 2011. The theory was proven ? at low levels of future profits, high levels of alpha coefficients were measured and vice versa - at high levels of future profits, low levels of alpha coefficients were measured. During efficiency tests, runs tests and correlation tests were monitored. During runs tests, the number of turns of a real file was compared with the number of runs of a simulated file; no distinctive variances were identified in the monitored stock titles. Forms of market efficiency were proven during the correlation tests and runs tests. The methods of technical analysis used were sliding averages, RSI indicators and Momentum. Trading on the basis of technical analysis is not completely possible because we did not succeed in finding an existing optimal strategy. If an optimal strategy works out it is regardless of the segment?s characteristics. I recommend a passive strategy with regards to the fundamental analysis.
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Analysis of securities to capital markets (inter-industry comparison of the amount and structure of each type of risk and return on the selected stock exchanges)
WEISSOVÁ, Kateřina
The main objective of this thesis is to analyze selected sectors of the European capital market by means of methods of technical and fundamental analysis. Based on the results obtained for each frame exchanges, industry sectors and the best investment strategy. The first part deals with the theoretical description of securities to capital markets, investment strategies, methods of assessment of the securities in the capital markets, the theory of efficient markets, market testing and evidence of their effectiveness. On the European stock market index, including the German DAX30 randomly selected ninety nine companies with data for the period 2006 {-} the 2011th The work on the basis of a confirmed capital market inefficiencies can be found active investment strategy to achieve above average returns.
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Testing of weak-form efficiency of the exchange market
Havel, Radek ; Veselá, Jitka (advisor) ; Kalivoda, František (referee)
The goal of my thesis is to verify the weak form of the efficiency of the exchange market. The paper results from the presumptions for efficient price movements on the financial markets. They are applied to the time series of exchange rates of five currency pairs. After definitions of testing methodology, the given exchange rates series are analysed with the help of correlation and autocorrelation test, runs test and a test based on technical analysis. The conclusion of the thesis anwers the question if the exchange rates movements are suitable with the efficient market hypothesis.
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