On Testing the Weak Form of Efficiency of Stock Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10237714" target="_blank" >RIV/61989100:27510/17:10237714 - 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
On Testing the Weak Form of Efficiency of Stock Markets
Original language description
The efficient market hypothesis represents an analytical approach aimed to explain movements in prices of financial assets. This hypothesis is based on the insight that prices for such assets are determined by rational be-havior of agents interacting in the market. In financial literature, the have been defined some patterns of behavior of efficient time series that are usually as-sociated with random walk models. In financial econometrics, there have been proposed various linear and non-linear statistical methods to verify random walk models. This paper deals with reformulation of traditionally used ap-proach of testing. New scheme of testing the weak form of efficiency will be designed. In addition, there will be proposed a simple approach how to meas-ure the degree of efficiency or inefficiency. Our findings will be practically demonstrated on data from Spanish stock market.
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
Proceedings of the 12th International Conference on Strategic Management and its Support by Information Systems: May 25th-26th, 2017, Ostrava, Czech Republic
ISBN
978-80-248-4046-8
ISSN
2570-5776
e-ISSN
neuvedeno
Number of pages
8
Pages from-to
342-349
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
May 25, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000417344100039

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