Publication detail

Information Efficiency of Central Europe Stock Exchanges

Author(s): prof. PhDr. Petr Teplý Ph.D., Karel Diviš
Type: Articles in journals with impact factor
Year: 2005
Number: 10
ISSN / ISBN: 0015-1920
Published in: Czech Journal of Finance, Czech Republic
Publishing place: Prague, Czech Republic
Keywords: market efficiency – market index – PX-50 – variance ratio test
JEL codes: C12, G14
Suggested Citation: pp. 471-482
Grants: 402/05/2123 (2005-2007) Efficiency of Financial Markets and New Basel Capital Accord (NBCA)
Abstract: The authors test the hypothesis of the weak form of market efficiency as concerns capital markets in the Czech Republic, Slovakia, Hungary, Poland and the United States. Toward that, the authors use a variance ratio test. Market efficiency is tested on the weekly and monthly values of relevant market indices from 1993 to August 2004.The authors use a variance ratio test to test the weak form of market efficiency as regards capital markets in the Czech Republic, Slovakia, Hungary, Poland, and in the United States. Market efficiency was tested using weekly and monthly values of relevant market indices in a period from 1993 until August 2004. The main results of the research show that (1) the weak form of the efficient market hypothesis could not be rejected for Central European capital markets, (2) market efficiency was observed over time on all the observed markets, and (3) the Central European capital markets converged to the U.S. capital market (in terms of the weak form of market efficiency).
Downloadable: FAU 9-10 2005 Efficiency of CEE stock markets KD+PT

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