The Initial Analysis of the Share Suitability for the Inclusion into an Active Trading Strategy

2021 ◽  
pp. 80-89
Author(s):  
I. Tolkachev ◽  
Aleksandr Kotov
Keyword(s):  
Stock Market ◽  
Real Number ◽  
Stock Exchange ◽  
Trading Strategy ◽  
Trading Strategies ◽  
Present Stage ◽  
Russian Market ◽  
Initial Analysis ◽  
Trading Volumes ◽  
Russian Stock Market

The article lists the problems inherent to the Russian stock market at the present stage, special attention is paid to the liquidity issues. The authors evaluate the shares of all issuers listed on the Moscow Stock Exchange for the possibility of their inclusion in an active strategy based on average trading volumes. The article calculates the effectiveness of using the methods of average values in assessing the compliance of the selected instruments with the minimum required liquidity values. In the course of the work, the industry features of the Russian market are taken into account. The classifier of the Moscow Exchange is used to distribute issuers by industry. In parallel, the liquidity imbalance between the branches of the Russian stock market is being investigated. The conclusion is given about the real number of stock market instruments suitable for use in active trading strategies. The result of the study is a formed set of shares distributed by industry.

scholarly journals Does the Croatian Stock Market Have Seasonal Affective Disorder?

2021 ◽  
Vol 14 (2) ◽  
pp. 89
Author(s):  
Tihana Škrinjarić ◽  
Branka Marasović ◽  
Boško Šego
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Affective Disorder ◽  
Seasonal Affective Disorder ◽  
Stock Exchange ◽  
Trading Strategies ◽  
Future Research ◽  
Winter Solstice ◽  
Daily Data ◽  
Depressive Episodes

This paper explores mood anomalies, specifically the seasonal affective disorder (SAD) effect on the Zagreb Stock Exchange (ZSE). SAD is defined as a syndrome of depressive episodes in human behavior due to the changing of the season. Thus, the motive of this research is to gain better insights into the investors’ sentiment regarding SAD effects. The purpose of the research is to observe how investors’ sentiment affects the return and risk series on ZSE and if this could be exploitable. Using daily data on stock market return CROBEX for the period January 2010—February 2021, SAD effects are tested to explore if seasonal changes affect the stock returns and risk. Besides the SAD variable in the model, some control variables are included as well: Monday, tax, and COVID-19 effect. The results indicate that SAD effects exist on ZSE, even with controlling for mentioned effects; and asymmetries around winter solstice exist. Implications of such findings can be found in simulating trading strategies, which could incorporate such information to gain profits. Limitations of the research focus on one market, observing static parameters of the estimated models, and observing simple trading strategies. Thus, future research should focus on international diversification possibilities, time-varying models, and fully exploring the exploitation possibilities of such findings.

scholarly journals Trading Volume as a Predictor of Market Movement

2019 ◽  
Vol 8 (2) ◽  
pp. 57-69
Author(s):  
Edson Kambeu
Keyword(s):  
Logistic Regression ◽  
Stock Market ◽  
Regression Model ◽  
Trading Volume ◽  
Logistic Regression Model ◽  
Predictive Analytics ◽  
Stock Exchange ◽  
Stock Market Index ◽  
Trading Volumes ◽  
Popular Language

A logistic regression model is has also become a popular model because of its ability to predict, classify and draw relationships between a dichotomous dependent variable and dependent variables. On the other hand, the R programming language has become a popular language for building and implementing predictive analytics models. In this paper, we apply a logistic regression model in the R environment in order to examine whether daily trading volume at the Botswana Stock Exchange influence daily stock market movement. Specifically, we use a logistic regression model to find the relationship between daily stock movement and the trading volumes experienced in the recent five previous trading days. Our results show that only the trading volume for the third previous day influence current stock market index movement. Overall, trading volumes of the past five days were found not have an impact on today’s stock market movement. The results can be used as a basis for building a predictive model that utilizes trading as a predictor of stock market movement.

scholarly journals Risks of Traders on the World Stock Market on the Example of Ukraine

2019 ◽  
Vol 67 ◽  
pp. 06001 ◽  
Author(s):  
George Abuselidze ◽  
Olga Mohylevska ◽  
Nina Merezhko ◽  
Nadiia Reznik ◽  
Anna Slobodianyk
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
World Market ◽  
Trading Strategy ◽  
Trading Strategies ◽  
Practical Significance ◽  
External Shocks ◽  
Domino Effect ◽  
The World ◽  
The Impact

The article reveals the essence and features of the development of the stock market in Ukraine. It was established that the vigorous activity of countries in the world financial markets means that they also face a risk of global financial turmoil (the so-called “domino effect”). It is determined that the impact of global financial instability on the country depends on the openness of its economy that will lead to significant external “shocks”. The possibility of providing effective influence on domestic stock market activity with taking into account the changing world situation, development of perfect trading strategies for each participant is substantiated. The conducted analysis of the world market conditions of stock markets in recent years has made it possible to assess the real risks for new participants in the stock market and become the basis for the development of an appropriate effective trading strategy. The practical significance of the results is that they allow for a measurable approach to assessing the existing risk when choosing one or another trading strategy to move to the world stock market.

Russian stock market is unlikely to repeat 2019 gains

2020 ◽  
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Exchange ◽  
Emerging Market ◽  
Oil Prices ◽  
Output Growth ◽  
Private Firm ◽  
Annual Growth ◽  
Content Type ◽  
Russian Stock Market

Subject The Russian stock market. Significance The Russian stock market offered high returns last year, as the Moscow stock exchange posted the highest annual growth of any of its emerging-market peers. The momentum carried over into January and the market reacted positively to a change in government, but the spread of the new coronavirus hit global oil prices. Impacts Low and declining Russian interest rates will encourage further investment inflows into equities. New IPO issuance will improve large firms' financial firepower. Output growth by Novatek should keep it in top position as Russia's most valuable private firm.

scholarly journals Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange

2021 ◽  
Vol 6 (4) ◽  
pp. 402-408
Author(s):  
Lusindah Lusindah ◽  
Erman Sumirat
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Moving Average ◽  
Time Frame ◽  
Trading Strategy ◽  
Individual Investors ◽  
Individual Investor ◽  
Back Testing ◽  
The Individual

Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of the individual investor is having ages that less than 30 years. In the period where IDX was bullish in November 2020 - January 2021, there is a phenomenon where stocks influencers appeared in social media and impacted to the stock price movement after the announcement is done by the influencer. In contrary, during bearish and sideways condition, those influencers were gone and changed with bad news that went viral where many individual investors are lost their capital in IDX. They lose money since they are gambling in the stock market without any analysis and no establishment of trading plan. This research is aimed as a strategy to individual investors in IDX to implement trading strategy based on Fibonacci retracements and projections, EMA lines, trendlines, stochastic, and volume. Back testing is conducted in IDX SMC Liquid index constituents during January 2018 until December 2020 period. By implementing this trading strategy, return generated is 164% for 3 years trading time frame. Author also found that this trading strategy is effective in bullish trend condition especially for individual investors that have long position.

scholarly journals Impact of Global Oil Shocks on the Russian Stock Market

2021 ◽  
Vol 92 ◽  
pp. 07037
Author(s):  
Igor Lukasevich ◽  
Ludmila Chikileva
Keyword(s):  
Stock Market ◽  
Time Series Data ◽  
Value Added ◽  
Stock Index ◽  
Series Data ◽  
Var Model ◽  
Oil Shocks ◽  
Russian Market ◽  
Russian Stock Market ◽  
The Impact

Research background: The study focuses on modeling assessment of oil shocks impact on the Russian stock market. Purpose of the article: The purpose of the study is to determine the impact of oil prices abrupt changes on the Russian stock market, its quantitative and temporal specifications. The study consists of two interrelated sections. The first section includes the results of statistical processing of initial data, calculation of their key characteristics and preliminary analysis. The second section of the study is devoted to modeling the assessment of the impact of oil shocks on the behavior of the Russian market RTS stock index. Methods: Based on an extensive sample of daily price values for Brent North sea oil and the Russian stock index RTS for the period from 1997 to May 2020, the study was conducted using models vector auto regression (VAR-model). Findings &Value added: The VAR model was developed and tested to assess the impact of oil shocks on the Russian stock market. Unlike the results of other studies, it is shown that the Brent oil price variance explains only about 10% of the RTS index yield variance in long-term time intervals. The low correlation of time series data and time limit of the impact of oil shocks on the Russian market have been revealed. According to the results of the study, the market recovery takes about 2 months, then the stock index returns to the ‘historical’ range of average ± standard deviation.

scholarly journals Impact of Political News: Evidence from Russia

2017 ◽  
Vol 64 (3) ◽  
pp. 271-287
Author(s):  
Sergey Nikolayevich Volodin ◽  
Gennadii Mladenovich Kuranov ◽  
Alexey Pavlovich Yakubov
Keyword(s):  
Stock Market ◽  
Securities Market ◽  
The Political ◽  
Garch Models ◽  
Financial Systems ◽  
Russian Market ◽  
Political News ◽  
Political Events ◽  
Russian Stock Market ◽  
Proper Orientation

Abstract In recent times political events started to exert more and more significant impact on national financial systems due to sharpening of political problems in various countries. Undoubtedly, their influence can be followed in price dynamics of stocks which are trading in the securities market. The need to understand political news impact on the market as a whole and its separate industries is faced by investors and market agents for proper orientation in market environment. Since this issue provides rather controversial results in different studies, the authors set the aim to investigate the Russian market with the use of GARCH models. Such approach allowed determining precisely the political events’ influence on return and volatility of market assets as well as leverage and clusterization effects. The obtained results may be beneficial for investors, operating in the Russian stock market, other market agents and specialists in the field of financial science.

scholarly journals A Trading Strategy for the Indian Stock Market: Analysis and Implications

2000 ◽  
Vol 25 (4) ◽  
pp. 27-38 ◽  
Author(s):  
Madhusudan Karmakar ◽  
Madhumita Chakraborty
Keyword(s):  
Data Mining ◽  
Decision Making ◽  
Stock Market ◽  
Trading Strategy ◽  
Market Analysis ◽  
Trading Strategies ◽  
Daily Return ◽  
The Mean ◽  
Indian Stock Market

A curious seasonality reported in finance is the monthly effect which implies that the mean daily return for stock is positive and higher during the first half of the month than the second half. Another related anomaly is the turn-of-the-month effect which is said to exist when the average daily return at the turn of the month is significantly higher than the daily return on the remain ing days of the month. This paper examines both the monthly effect and the turn-of-themonth effect in the Indian stock market by applying two different approaches: calendar day approach and trading day approach. The results of both the approaches reveal significantly higher return at the first half of the month than that of the second half and abnormally high returns at the turn of the month. Various explanations for the ob served anomalies have been considered including the problem of ‘data mining,’ proxy of other anomalies, etc., but none could provide adequate explanations for the observed intra-month return regularities. However, based on the findings, the study tries to evolve certain trading strategies which would benefit in the decision making of the investors concerned with timing of stock purchases and sales.

scholarly journals PROBLEMS AND TRENDS IN THE DEVELOPMENT OF THE RUSSIAN STOCK MARKET

2022 ◽  
Vol 2021 (2) ◽  
pp. 6-10
Author(s):  
Vera Shumilina ◽  
Alexander Kochetov ◽  
Vitaliy Muradyan
Keyword(s):  
Stock Market ◽  
Market Value ◽  
Securities Market ◽  
Financial Resources ◽  
Russian Market ◽  
Economic Relations ◽  
Financial Activity ◽  
The Usa ◽  
Russian Stock Market ◽  
Research Analysis

The article is devoted to the research analysis of the current patterns of development of the domestic stock market. An assessment of the dynamics of the stock market volumes is given. The trends in the movement of the market value of shares of Russian companies and the influence of factors on this process are analyzed. A comparative analysis of the dynamics of the stock market in Russia and the USA is carried out. We also raised the issue of the development of economic relations in Russia characterized by the creation of an effective and transparent mechanism for the formation and distribution of financial resources between economic entities in accordance with market rules and laws. One of these generating and redistributing channels should be the securities market, as an integral part of ensuring the integrity and functioning of all elements of the economic system of the state. In conclusion, it was concluded that the main goal of the Russian market is its transformation into a productive mechanism for reducing the uncertainty of financial activity, which is based on the implementation of an appropriate active state policy

scholarly journals DIRECTIONS OF SECURITY LISTING ON THE DOMESTIC STOCK MARKET

2021 ◽  
Author(s):  
Nataliia Shevchenko ◽  
Olha Ohirko
Keyword(s):  
Stock Market ◽  
Financial Reporting ◽  
Stock Exchange ◽  
State Level ◽  
Financial Intermediaries ◽  
Stock Exchanges ◽  
Software Products ◽  
Positive Side ◽  
Trading Volumes ◽  
Domestic Stock

The essence of the concept of "listing", "listing of securities" is considered, the procedure of listing on the domestic stock exchange is determined and the levels of listing are highlighted. The basic concepts of securities listing, in accordance with regulations, regulations of Ukrainian stock exchanges and the definition of domestic economists are studied. The main indicators of the first and second level of listing on the Ukrainian stock exchange, selection criteria to the appropriate level are grouped. In Ukraine, public joint stock companies are required to go through the procedure of listing, regardless of the volume and value of the issue of shares. An analysis of the issue of securities on the stock market of Ukraine, listing, trading volumes of securities. It has been established that over the last five years the volume of securities issues of public joint-stock companies on the stock market has significantly decreased, the volume of listing has decreased, which has reduced the volume of trading on both exchange and over-the-counter markets. The negative downward trend in the issue of shares of joint-stock companies was influenced by the reduction of financial intermediaries (underwriters, depositories, financial agents) in the domestic stock market, as well as the level of domestic and foreign investment. The main directions for optimizing the listing procedure, ensuring the competitiveness and investment attractiveness of domestic joint stock companies are identified. The main areas for improving the listing procedure should be provided both at the state level and at the level of joint stock companies, financial intermediaries, and investors. In particular, joint-stock companies are required to submit financial statements (in accordance with international financial reporting standards for legal entities) to stock exchanges, their authorized representatives, the First Stock Trading System and relevant authorities. On the positive side, professional participants of the domestic stock market were able to offer their clients software products for remote conclusion of contracts for the sale of financial instruments.

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