Testing the Weak Form of Efficiency on Czech and Slovak Stock Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F06%3A00017423" target="_blank" >RIV/61989100:27510/06:00017423 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Testing the Weak Form of Efficiency on Czech and Slovak Stock Market
Original language description
The article deals with testing of the weak form of efficiency on Czech and Slovak stock market during the period of years 2000 ? 2004 based on daily returns representing index PX50 and SAX30 in the form of martingale as well as in the form of random walk. Concerning functional model forms of conditional variance, the linear and nonlinear volatility models have been estimated and half-life of the variance on the markets, presence of leverage effect or risk aversion have been evaluated. The results evaluated Czech stock market as the weakly efficient market in the monitored period. Slovak stock market was evaluated as more or less inefficient, only in the time period of 2000-2002 the martingale form of efficiency has not been rejected.
Czech name
Testování slabé formy efektivnosti českého a slovenského akciového trhu
Czech description
Efektivnost akciového trhu, GARCH modely, martingalová forma efektivnosti, český a slovenský akciový trh, testování slabé formy efektivnosti

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2006
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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