Testing the Semi-strong Form of Efficiency in Czech Stock Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237710" target="_blank" >RIV/61989100:27510/17:10237710 - isvavai.cz</a>
Result on the web
<a href="https://is.muni.cz/do/econ/sborniky/70896034/" target="_blank" >https://is.muni.cz/do/econ/sborniky/70896034/</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Testing the Semi-strong Form of Efficiency in Czech Stock Market
Original language description
The efficient market hypothesis represents possible analytical approach when analyzing behaviour of financial markets. The aim of this paper is to test the efficient market hypothesis in its semi-strong form using data from Czech stock market. Information efficiency of the Czech stock market is assessed in relation to seven announcement of Moody´s rating agency regarding changes of credit rating of Greek government bonds in the period of 2009-2012 years. For the purpose of this paper, the event study method is applied. The basic idea of this statistical method is to determine values of abnormal returns, which can be defined as a difference between actual and equilibrium returns. In order to calculate equilibrium returns the Capital Asset Pricing Model is used. Observed differences between actual and equilibrium returns were verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon sign-ranked test were utilized. Based on results of statistical tests, the null hypothesis of efficiency was rejected.
Czech name
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Czech description
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Project
<a href="/en/project/GA13-13142S" target="_blank" >GA13-13142S: Verification of suitability of particular Lévy models for selected issues of financial modeling</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2017: proceedings of the 14th international scientific conference : June 26-27, 2017, Brno, Czech Republic. Part 2.
ISBN
978-80-210-8609-8
ISSN
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e-ISSN
neuvedeno
Number of pages
9
Pages from-to
247-255
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jun 26, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000418110800030

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