Is the Czech Capital Market Weak Form Efficient?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F22%3A43966270" target="_blank" >RIV/49777513:23510/22:43966270 - isvavai.cz</a>
Result on the web
<a href="https://mme2022.vspj.cz/download/proceedings-4.pdf" target="_blank" >https://mme2022.vspj.cz/download/proceedings-4.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Is the Czech Capital Market Weak Form Efficient?
Original language description
This study deals with the short-term prediction of share prices in the Czech stock market. A stochastic model based on the analysis of simple Markov chains was used for the short-term prediction of share prices. Buy and sell signals were generated on the basis of this prediction. The prediction model is considered to be successful if trading with the use of this model outperforms the market; in other words, it yields higher returns than the passive “Buy and Hold” investment strategy. The study was performed using daily data from the Czech stock market for the 14-year period, from the beginning of 2006 until the end of 2019, i.e., approximately 3,500 trading days. The study results have shown that stocks that are traded in higher turnovers outperformed the Buy and Hold strategy over the period under review. Conversely, stocks that are traded daily in low turnovers do not outperform the Buy and Hold strategy. Thus, it seems that stocks traded in large turnovers do not behave efficiently. Stocks traded in small turnovers tend to behave as weak form efficient.
Czech name
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Czech description
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Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
40th International Conference Mathematical Methods in Economics 2022 Proceedings
ISBN
978-80-88064-62-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
306-311
Publisher name
Vysoká škola polytechnická Jihlava
Place of publication
Jihlava
Event location
Vysoká škola polytechnická Jihlava
Event date
Sep 7, 2022
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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