Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10240859" target="_blank" >RIV/61989100:27510/18:10240859 - isvavai.cz</a>

Výsledek na webu

<a href="https://is.muni.cz/do/econ/soubory/aktivity/fai/1_2018/FAI2018_01_04.pdf" target="_blank" >https://is.muni.cz/do/econ/soubory/aktivity/fai/1_2018/FAI2018_01_04.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5817/FAI2018-1-4" target="_blank" >10.5817/FAI2018-1-4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis

Popis výsledku v původním jazyce

Empirical testing of the linkages between macroeconomic news and asset price movements in terms of response to released macroeconomic information have been a subject of many investigations using different testing methods. The objective of this paper is to study the impact of announcements of Greek credit rating downgrades on the prices of the most liquid assets quoted in the Czech stock market. This issue is tightly related to semi-strong form of the efficient market hypothesis, which is one of possible analytical approaches when analyzing behaviour of assets in financial markets. The reaction of the Czech stock market is assessed in relation to seven announcements of Moody&apos;s rating agency regarding changes of credit rating of Greek government bonds in the period 2009- 2012. For the purpose of this paper, the event study methodology 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 (CAPM) is used. The differences between actual and equilibrium returns are then verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon signed-rank test are utilized. Based on results of nonparametric statistical tests, the null hypothesis of information efficiency of the Czech stock market is conclusively rejected.

Název v anglickém jazyce

Empirical Testing of the Response of Czech Stock Market to Downgrades of Greek Credit Rating in the Light of the Efficient Market Hypothesis

Popis výsledku anglicky

Empirical testing of the linkages between macroeconomic news and asset price movements in terms of response to released macroeconomic information have been a subject of many investigations using different testing methods. The objective of this paper is to study the impact of announcements of Greek credit rating downgrades on the prices of the most liquid assets quoted in the Czech stock market. This issue is tightly related to semi-strong form of the efficient market hypothesis, which is one of possible analytical approaches when analyzing behaviour of assets in financial markets. The reaction of the Czech stock market is assessed in relation to seven announcements of Moody&apos;s rating agency regarding changes of credit rating of Greek government bonds in the period 2009- 2012. For the purpose of this paper, the event study methodology 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 (CAPM) is used. The differences between actual and equilibrium returns are then verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon signed-rank test are utilized. Based on results of nonparametric statistical tests, the null hypothesis of information efficiency of the Czech stock market is conclusively rejected.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Výzkumný tým pro modelování ekonomických a finančních procesů na VŠB-TU Ostrava</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

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Svazek periodika

1

Číslo periodika v rámci svazku

9

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

21

Strana od-do

51-57

Kód UT WoS článku

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EID výsledku v databázi Scopus

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