Testing the weak form of efficiency on czech and slovak stock market

Jana Hančlova () and Eva Rublikova ()

Operations Research and Decisions, 2006, vol. 16, issue 1, 21-38

Abstract: The article deals with the testing of the weak form of efficiency on Czech and Slovak stock market during the period 2000–2004 based on daily returns representing index PX50 and SAX30 in the form of martingale as well as in the form of random walk. Concerning functional model forms of conditional variance, the linear and nonlinear volatility models have been estimated and half-life of the variance on the markets, presence of leverage effect or risk aversion have been evaluated.

Keywords: Stock market efficiency; GARCH models; martingale form of efficiency; random walk; Czech and Slovak stock market; testing the weak form of efficiency (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:1:y:2006:p:21-38

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