Testování slabé formy efektivnosti českého a slovenského akciového trhu

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2006

Kód důvěrnosti údajů

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

Název periodika

Operations Research and Decisions

ISSN

1230-1868

e-ISSN

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Svazek periodika

1

Číslo periodika v rámci svazku

1/2006

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

18

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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