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Information Efficiency of Central Europe Stock Exchanges (in Czech)

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Author Info

  • Karel Diviš

    ()
    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague)

  • Petr Teplý

    ()
    (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague and Èeskoslovenská obchodní banka, a.s., Prague)

Abstract

The authors use a variance ratio test to test the weak form of market efficiency as regards capital markets in the Czech Republic, Slovakia, Hungary, Poland, and in the United States. Market efficiency was tested using weekly and monthly values of relevant market indices in a period from 1993 until August 2004. The main results of the research show that (1) the weak form of the efficient market hypothesis could not be rejected for Central European capital markets; (2) market efficiency was observed over time on all the observed markets; (3) the Central European capital markets converged to the U.S. capital market (in terms of the weak form of market efficiency).

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Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 55 (2005)
Issue (Month): 9-10 (September)
Pages: 471-482

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Handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:471-482

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Related research

Keywords: market efficiency; market index; PX-50; variance ratio test;

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