Testing the semi-strong form of the efficient capital markets hypothesis on shares market of the Czech Republic between 2000 and 2006
|Author:||Bc. Ladislav Krištoufek|
|Year:||2007 - summer|
|Leaders:|| prof. Ing. Oldřich Dědek CSc.
|Consultants:|| Mgr. Magda Pečená Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||The main aim of this bachelor’s thesis is the application of methods of efficient markets tests on the Czech stock exchange in the period of 2000-2006. Particular focus is on behavior of stocks of the main market of the Prague Stock Exchange. In the first chapter, the basic theoretical background is introduced together with appropriate tests. The following chapters are focused on the results of particular tests. In the second chapter, the results of the random walk tests are discussed. The results are not clear as the conditions of tests are usually not met. The outcomes show we cannot reject the hypothesis about random walk around a non-zero value. In the third chapter, we find returns significantly different in several days during week as well as significantly different returns in several months of the year compared to the others. However,
after deeper research, we come to the conclusion there cannot be an investing strategy based on those findings which can reach higher returns. In the fourth chapter, which is also the last concerning the tests, we find out that stocks react to the world-wide events. Nonetheless, reaction is very slow. The following research of the reactions to the change of basic interest rate shows the behavior of returns is similar concerning reactions to the changes of both CNB and ECB. The important role is assigned to expectations.
|Downloadable:|| Bachelor Thesis of Ladislav Krištoufek