WEAK FORM MARKET EFFICIENCY HYPOTHESIS TESTING - AUTOCORRELATION ANALYSIS AND UNIT ROOT TEST

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

WEAK FORM MARKET EFFICIENCY HYPOTHESIS TESTING - AUTOCORRELATION ANALYSIS AND UNIT ROOT TEST

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

WEAK FORM MARKET EFFICIENCY HYPOTHESIS TESTING - AUTOCORRELATION ANALYSIS AND UNIT ROOT TEST

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Conference Proceedings 9th International Scientific Conference IFRS: GLOBAL RULES &amp; LOCAL USE- BEYOND THE NUMBERS

ISBN

978-80-7638-027-1

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

199-208

Název nakladatele

Metropolitan University Prague Press &amp; Anglo-American University

Místo vydání

Praha

Místo konání akce

Praha

Datum konání akce

7. 10. 2021

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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