On Testing the Weak Form of Efficiency of Stock Markets

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

On Testing the Weak Form of Efficiency of Stock Markets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

On Testing the Weak Form of Efficiency of Stock Markets

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50206 - Finance

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)

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

Počet stran výsledku

8

Strana od-do

342-349

Název nakladatele

VŠB - Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

25. 5. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000417344100039