Efficiency, Persistence and Predictability of Central European Stock Markets

Ladislav Krištoufek ()

Chapter 5 in Money, Banking and Financial Markets in Central and Eastern Europe, 2010, pp 98-118 from Palgrave Macmillan

Abstract: Abstract The stock markets of the Czech Republic, Hungary, Poland and Slovakia have undergone important institutional changes since the fall of the communist regime, changes that are reflected in its increased transparency and liquidity. Such properties are necessary for the market to be efficient. Even though the efficiency of the markets is hard to test statistically, the test for long-range dependence in the evolution of the stock returns yields testable implications for the martingale hypothesis, which is used as a benchmark for market efficiency (McCauley et al., 2008; Mandelbrot, 1966).

Keywords: Market Efficiency; Hurst Exponent; Detrended Fluctuation Analysis; Efficient Market Hypothesis; Stock Market Price (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-0-230-30221-1_5

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DOI: 10.1057/9780230302211_5

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