Is the Czech Capital Market Weak Form Efficient?

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Is the Czech Capital Market Weak Form Efficient?

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Is the Czech Capital Market Weak Form Efficient?

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

6

Strana od-do

306-311

Název nakladatele

Vysoká škola polytechnická Jihlava

Místo vydání

Jihlava

Místo konání akce

Vysoká škola polytechnická Jihlava

Datum konání akce

7. 9. 2022

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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