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Information Efficiency of Central Europe Stock Exchanges (in Czech)

Author

Listed:
  • 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).

Suggested Citation

  • Karel Diviš & Petr Teplý, 2005. "Information Efficiency of Central Europe Stock Exchanges (in Czech)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 471-482, September.
    • Handle: RePEc:fau:fauart:v:55:y:2005:i:9-10:p:471-482
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    More about this item

    Keywords

    market efficiency; market index; PX-50; variance ratio test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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