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Testování slabé formy efektivnosti na českém akciovém trhu

Testing the weak form of efficient market hypothesis for the czech stock market

Tran Van Quang

Politická ekonomie, 2007, vol. 2007, issue 6, 751-772

Abstract: Efficient Market Hypothesis has dominated the field of research on capital market theory. It postulates that asset prices are rationally connected to economic realities and always incorporate all the information available to the market. A huge quantity of theoretical works around the world have been devoted to testing this hypothesis. In this paper, the weak form of the Efficient Market Hypothesis is tested on data from the Czech stock market of period 1996-2006. The tested hypothesis is verified by both linear and nonlinear methods. Those linear are: Box-Pierce test, variance ratio test, test of sequences and reversals nad Hurst exponent. The nonlinear ones are: White test, Engle test, Hinich test and BDS test. These tests are carried on stock returns time series of Czech stock market index PX and individual stocks as Telefónica, Komerční banka and ČEZ and series with randomly changed order from original series. The results of the testing indicate that returns, when randomly permutated, are independent, hence they follow a random walk. But it is impossible to maintain it in case of original returns series.It implies that returns of either Czech stock market index or its stocks are not independent and do not follow a random walk.

Keywords: random walk; Efficient Market Hypothesis; Hypothesis Testing; Linear and Nonlinear Methods; Czech Stock Market; Time Series with Randomly Permutated Order (search for similar items in EconPapers)
JEL-codes: C12 G14 (search for similar items in EconPapers)
Date: 2007
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