Information Efficiency of the Capital Market: a Stochastic Calculus Approach Evidence from the Czech Republic (in English)

Vít Pošta () and Zbynìk Hackl
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Vít Pošta: University of Economics, Prague
Zbynìk Hackl: University of Economics, Prague

Czech Journal of Economics and Finance (Finance a uver), 2007, vol. 57, issue 5-6, 235-254

Abstract: This paper deals with an important characteristic of the capital market: information efficiency. With the use of geometric Brownian motion, the authors run several projections of stock prices based on varying amount of historic information and compare these projections with the real behavior of the stock prices, examining for predictability. This enables to verify the condition of the weak-efficiency hypothesis in the form of a Markov process. The authors conduct the empirical part of their analysis in the environment of the Czech capital market, thus providing additional information on the development of transition economies.

Keywords: Monte Carlo; stochastic calculus; weak-form information efficiency (search for similar items in EconPapers)
JEL-codes: C02 C15 G14 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:57:y:2007:i:5-6:p:235-254

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