A Random Walk of Stock Prices in Visegrad Group: Efficient Market Hypothesis

Yagmur Saglam () and Gulcin Guresci ()
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Yagmur Saglam: Boyabat Faculty of Economics and Administrative Sciences
Gulcin Guresci: Dokuz Eylul University

A chapter in Efficiency in Business and Economics, 2018, pp 175-185 from Springer

Abstract: Abstract The purpose of this paper is to investigate Efficient Market Hypothesis (EMH) for Visegrad Group. The stock prices have been analyzed for the period between 1995 and 2014 with panel multiple structural breaks unit root test which is developed by Carrion-i-Silvestre et al. (2005). According to the findings, Efficient Market Hypothesis is accepted for Hungary, Poland, Czech and Slovak Republics (for all Visegrad Group). Stock prices have random walk. Due to the importance of monetary policy in equity markets the co-integration between interest rates and stock prices is also examined by the multiple structural breaks co-integration test which is developed by Basher and Westerlund (2009). This test considers the cross-section dependence between individual units. According to the test results; there is co-integration between interest rates and stock prices. Therefore, we could say that monetary policy decisions have an impact on investors’ behaviors.

Keywords: Visegrad Group; Stock prices; Multiple structural breaks (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-68285-3_14

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DOI: 10.1007/978-3-319-68285-3_14

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