Market model of the czech capital market

Martin Sommer

Prague Economic Papers, 1996, vol. 1996, issue 3

Abstract: Market Model is a powerful analytic tool both for market description and for the creation of investment strategies. Its ideas are generally accepted on the developed markets, but there have not been proper attempts to apply it on new Eastern European markets, especially on the Czech market. However, results from this study seem to support the hypothesis about Model's validity on Czech equities. Emerging markets often lack an adequate reaction of equity prices to the fundamental measures. Although investors correctly tend to back them up with real firm figures, every relevant price mechanism available is warmly welcomed. The Market Model compares price movements of individual stocks with the performance of the market as a whole. In its simplest and most powerful form, the Model discloses relationships among equity returns and enables the risk evaluation of each security.

Date: 1996
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DOI: 10.18267/j.pep.109

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