English, Article edition: WEAK-FORM EFFICIENCY TEST IN THE CENTRAL EUROPEAN CAPITAL MARKETS Jan Hájek

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/197755
Physical Description
  • article
Language
  • English

Edition details

Title
  • WEAK-FORM EFFICIENCY TEST IN THE CENTRAL EUROPEAN CAPITAL MARKETS
Author
  • Jan Hájek
Physical Description
  • article
Notes
  • efficiency market hypothesis, weak-form market efficiency, relative market efficiency, random walk model, variance ratio test, heteroskedasticity, non-synchronous trading, Central European stock markets
  • This study thoroughly analyzes the stock market efficiency hypothesis - its weak form - in the Czech Republic, Poland and Hungary in 1995-2005. It aims to reveal whether trading on historical information about stock prices or indices may lead to economically significant abnormal profits and whether the analyzed markets are comparably efficient. It also tests relative efficiency of the Central European markets compared to developed capital markets that are considered the most effective - the American NYSE, German and Netherlands stock exchanges. Complexity of the results is enhanced by analyzing daily, weekly and monthly returns of both the major regional indices - the Czech PX-50 and PX-D, Hungarian BUX and Polish WIG20 - and individual shares that constitute the indices. Moreover, consequences of the non-synchronous trading for autocorrelations are discussed. In conclusion, the Central European region must be considered as a heterogeneous market. While the Hungarian market generally complies with the hypothesis and behaves weakly efficient, significant linear dependences are typical for the Czech stock market. Some unsystematic departures from the random walk model persist in Poland and the efficiency market hypothesis can not be validated there. Any abnormally profitable investment strategy that exploits technical analysis should thus avoid Hungarian stocks and exploit short-term dependences on the Czech and, to a lesser extant, Polish stock market.
  • variance ratio test, relative market efficiency, random walk model, non-synchronous trading, heteroskedasticity, efficiency market hypothesis, Central European stock markets, weak-form market efficiency
  • RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:623:p:773-791
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment