Czech Capital Market Weak-Form Efficiency, Selected Issues

Jan Hájek

Prague Economic Papers, 2007, vol. 2007, issue 4, 303-318

Abstract: The article discusses several factors that should be addressed when analysing linear dependences and testing the Efficient Market Hypothesis on the Czech capital market in order to avoid possible interpretation biases. The conclusions are based on the empirical analysis of the stock return behaviour in 1995-2005 and the generalization of the up-to-date local studies outcomes. It also discusses the market's relative efficiency compared to capital markets that are considered the most effective worldwide and on the European territory - the American NYSE and the German and Netherlands stock exchanges. Significant linear dependences of daily returns are typical on the Czech capital market; its relative efficiency still lags behind the efficiency of the developed markets.

Keywords: conditional heteroskedasticity; efficient market hypothesis; weak-form efficiency; relative efficiency; random walk; variance ratio test; non-synchronous trading; data frequency; Czech stock market (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.pep.310

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