WEAK FORM MARKET EFFICIENCY HYPOTHESIS TESTING - AUTOCORRELATION ANALYSIS AND UNIT ROOT TEST
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26482789%3A_____%2F21%3A10152201" target="_blank" >RIV/26482789:_____/21:10152201 - isvavai.cz</a>
Result on the web
<a href="https://www.mup.cz/data/files/IFRS2021-sbornik.pdf" target="_blank" >https://www.mup.cz/data/files/IFRS2021-sbornik.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
WEAK FORM MARKET EFFICIENCY HYPOTHESIS TESTING - AUTOCORRELATION ANALYSIS AND UNIT ROOT TEST
Original language description
The Efficient Market Hypothesis (EMH) assumes that stock prices take a random walk and that it is impossible to achieve above-average returns in such markets. The evidence to date on market efficiency is mixed. This paper deals with testing the weak form of the efficient market hypothesis (EMH) using daily data on the development of indices representing selected stock markets for the period 2001-2021, which was further divided into shorter periods. Autocorrelation analysis and unit root tests are used as statistical tools. The Czech, German, British, American, Japanese and Chinese stock markets were chosen for the study. The autocorrelation analysis results suggest that for the period 2001-2021 only the Japanese market shows effective behaviour. In the period 2001-2007, the Czech, American, Japanese and Chinese markets also behaved in accordance with the weak form of efficiency. In the post-crisis period 2009-2019, the German and British markets also showed weakly effective behaviour. In the COVID-19 period 2020-2021, the Japanese and Chinese markets showed signs of the weak form of efficiency. Unit root tests did not confirm the weakly effective behaviour in all markets in all tested periods. It can be concluded that the market efficiency is not stable over time in the individual markets examined.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings 9th International Scientific Conference IFRS: GLOBAL RULES & LOCAL USE- BEYOND THE NUMBERS
ISBN
978-80-7638-027-1
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
199-208
Publisher name
Metropolitan University Prague Press & Anglo-American University
Place of publication
Praha
Event location
Praha
Event date
Oct 7, 2021
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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