Improving Investment Timing

• Název práce v češtině: Improving Investment Timing
• Název v anglickém jazyce: Improving Investment Timing
• Klíčová slova: finanční trhy, psychologie investování, technická analýza
• Klíčová slova anglicky: financial markets, psychology of investing, technical analysis
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. Bc. Jiří Novák, M.Sc., Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 13.10.2010
• Datum zadání: 18.05.2011
• Datum a čas obhajoby: 21.06.2011 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 18.05.2011
• Datum proběhlé obhajoby: 21.06.2011
• Oponenti: doc. PhDr. Lubomír Cingl, Ph.D.

Seznam odborné literatury

Aggarwal, R. and Lucey, B. M., 2007. Psychological Barriers in the Gold Prices?. Review of Financial Economics, 16(2), pp. 217-230.
Andreassen, P. and Kraus, S., 1988. Judgmental Prediction by Extrapolation. Unpublished Paper, Harvard University, Department of Psychology.
Banz, R. W., 1981. The Relationship between Return and Market Value of Common Stocks. Journal of Financial Economics, 9(1), pp. 3-18.
Barberis, N. and Thaler, R., 2003. A Survery of Behavioral Finance. In: Constantinides, G. M., Harris, M. and Stulz, R., eds. 2003. Handbook of the Economics of Finance. Elsevier Science B.V.
Barberis, N. and Shleifer, A., 2000. Style Investing. NBER Working Paper, w8039.
Basu, S., 1977. Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis. The Journal of Finance, 32(3), pp. 663-682.
Brock, W., Lakonishok, J. and LeBaron, B., 1992. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. The Journal of Finance, 47(5), pp. 1731-1764.
Cipriani, M. and Guarino, A., 2008. Herd Behavior and Contagion in Financial Markets. Journal of Theoretical Economics, 8(1).
Cipriani, M. and Guarino, A., 2009. Herd Behavior in Financial Markets: An Experiment with Financial Market Professionals. Journal of the European Economic Association, 7(1), pp. 206-233.
Curcio, R., Goodhart, C., Guillaume, D. and Payne, R., 1997. Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange Market. International Journal of Finance & Economics, 2(4), pp. 267-280.
De Long, J. B., Shleifer, A., Summers, L. H. and Waldmann, R. J., 1990. Positive Feedback Investment Strategies and Destabilizing Rational Speculation. The Journal of Finance, 45(2), pp. 379-395.
Fama, E., 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), pp. 383-417.
Fama, E. and French, K., 1993. Common Risk Factors in the Returns of Stocks and Bonds. Journal of Financial Economics, 33(1), pp. 3-56.
Griffin, J. M. and Lemmon, M. L., 2002. Book-to-Market Equity, Distress Risk, and Stock Returns. The Journal of Finance, 57(5), pp. 2317-2336.
Grossman, Sanford, Cone, C., Miller, M., Fischel, D., and Ross, J. D., 1997. Clustering and Competition in Asset Markets. Journal of Law and Economics, 40(1), pp. 23-60.
Hayek, F. A., 1945. The Use of Knowledge in Society. American Economic Review, 35(4), pp. 519-530.
Hudson, R., Dempsey, M. and Keasey, K., 1996. A Note on the Weak Form Efficiency of Capital Markets: The Application of Simple Technical Trading Rules to UK Stock Prices – 1934 to 1994. Journal of Banking & Finance, 20, pp. 1121-1132.
Ikenberry, D. and Weston, J. P., 2003. Clustering in U.S. Stock Prices After Decimalization. Working Paper, Rise University.
Málek, P., 2009. Effect of Emotional Behavior on the Efficiency of Securities Markets. Bachelor’s Thesis, Charles‟ University, Faculty of Social Sciences, Institute of Economic Studies, Prague.
Marimon, R., Spear, S. E. and Sunder, S., 1993. Expectationally Driven Market Volatility: An Experimental Study. Journal of Economic Theory, 61(1), pp. 74-103.
Michaely, R., Thaler, R. H. and Womack, K., 1993. Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?. The Journal of Finance, 50(2), pp. 573-608.
Mitchell, J., 2001. Clustering and the Psychological Barriers: The Importance of Round Numbers. Journal of Futures Markets, 21(5), pp. 395-428.
Murphy, J. J., 1999. Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications. New York: New York Institute of Finance.
Olster, C., 2000. Support for Resistance: Technical Analysis and Intraday Exchange Rates. FRBNY Economic Policy Review, 6, pp. 53-65.
Osler, C. L., 2003. Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis. The Journal of Finance, 58(5), pp. 1791-1820.
Rosenberg, B., Reid, K. and Lanstein, R., 1985. Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management, 11(3), pp. 9-16.
Schiff, P. D., 2007. Crash Proof. Hoboken: John Wiley & Sons.
Scharfstein, D. S. and Stein, J. C., 1990. Herd Behavior and Investment, American Economic Review, 80, pp. 465-479.
Schwartz, A. L., Ness, B. F. van and Ness, R. A. van, 2004. Clustering in the Futures Market: Evidence from S&P 500 Futures Contracts. The Journal of Futures Markets, 24(5), pp. 413-428.
Shiller, R. J., 2003. From Efficient Markets Theory to Behavioral Finance. The Journal of Economic Perspectives, 17(1), pp. 83-104.
Smith, V., Suchanek, G., and Williams, A., 1988. Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets. Econometrica, 56(5), pp. 1119-153.
Sonnemans, J., 2006. Price Clustering and Natural Resistance Points in the Dutch Stock Market: A Natural Experiment. European Economic Review, 50(8), pp. 1937-1950.
Stattman, D., 1980. Book Values and Stock Returns. The Chicago MBA: A Journal of Selected papers, 4, pp. 25-45.

Předběžná náplň práce

Tato diplomová práce se zabývá technickou analýzou finančních trhů neboli zkoumáním závislosti mezi aktuálním a minulým vývojem ceny, zejména konceptem „supportů“ a „resistencí“, tedy cenových hladin, na kterých se cena v minulosti zastavila. Nejprve je uveden výtah z nejdůležitější související literatury na téma technické analýzy, psychologie investování, behaviorálních financí a efektivity trhů. Následují teoretické argumenty ve prospěch možného fungování technických cenových hladin, stejně tak jako odpovědi na předpokládané námitky. Tato teorie je poté v podobě několika tisíc odlišných ale vzájemně podobných obchodních strategií testována na historických cenách několika nejdůležitějších finančních aktiv. Výsledky jsou porovnány s konzervativní buy-and-hold strategií a s náhodným obchodováním. Došli jsme k závěru, že obchodování na základě technických cenových hladin vede k pozitivním výsledkům s výhodou oproti náhodnému obchodování resp. buy-and-hold strategii. Parametry konkrétních strategií naše výsledy častěji ovlivňují očekávaným než neočekávaným způsobem.

Předběžná náplň práce v anglickém jazyce

This master‟s thesis is based on study of technical analysis of financial markets, i.e. analysis of dependencies between past and present price data, especially when it comes to “supports” and “resistances” or historical price levels where price recently tended to stop and reverse. First of all, summary of the most relevant literature on technical analysis is presented, together with literature on psychology of investing, behavioral finance and market efficiency. Following that, theoretical arguments in favor of possible edge in trading of technical levels are introduced and possible objections are addressed. This theory – in the form of several thousands of unique but similar trading strategies – is then tested on historical data of the most important financial assets. Results are compared to those of conservative buy-and-hold strategy and random trading. We reached the conclusion that trading based on technical price levels brings positive capital gains which are better than those achieved by random trading and buy-and-hold strategy. Parameters of our strategies influence the results in expectable manner more often than not.