 Efficiency of Financial Markets in Transition: The Case of Macroeconomic ReleasesCERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague Abstract: This paper contributes to the discussion on the efficiency of newly emerged financial markets in transition economies. We use data on one of the most developed financial markets in transition, the Czech Republic, to investigate financial market efficiency by examining the reaction to macroeconomic releases. Direct measure of market expectations, that is, survey data, is used to form a proxy for market expectations. The reactions of interest rates, bond yields, exchange rates, and the stock market index are explored. We found that, despite the fact that the survey data appear to reasonably approximate rational expectations, the Czech market lacks basic efficiency properties. It reacts to the expected part of the news announcement, and the adjustment is stretched over a period of several days. In the case of CPI, we found evidence suggesting that the efficiency of the market improves over time. Keywords: market efficiency; emerging markets; market response; macroeconomic release (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cer:papers:wp156 Access Statistics for this paper More papers in CERGE-EI Working Papers from The Center for Economic Research and Graduate Education - Economics Institute, Prague Contact information at EDIRC. |
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