Testing the Semi-strong Form of Efficiency in Czech Stock Market
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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
—
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Testing the Semi-strong Form of Efficiency in Czech Stock Market
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Testing the Semi-strong Form of Efficiency in Czech Stock Market
Popis výsledku anglicky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
<a href="/cs/project/GA13-13142S" target="_blank" >GA13-13142S: Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2017
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
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
—
e-ISSN
neuvedeno
Počet stran výsledku
9
Strana od-do
247-255
Název nakladatele
Masaryk University
Místo vydání
Brno
Místo konání akce
Brno
Datum konání akce
26. 6. 2017
Typ akce podle státní příslušnosti
WRD - Celosvětová akce
Kód UT WoS článku
000418110800030