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Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter

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Author Info
Vít Pošta () (University of Economics, Prague)
Abstract

The paper builds on the martingale representation of the market efficiency hypothesis and, with the use of an E-GARCH model of the volatility of the PX and PX-GLOBAL daily returns, a state-space model is formulated. Using the Kalman filter, the time-varying dependency of the daily returns on their lagged values is estimated. The estimation of this parameter shows how quickly the Prague Stock Exchange, represented by its PX index and PX-GLOBAL index, has gradually moved toward the condition of weak efficiency.

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File URL: http://journal.fsv.cuni.cz/mag/article/show/id/1131
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Publisher 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): 58 (2008)
Issue (Month): 05-06 (August)
Pages: 248-260
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Handle: RePEc:fau:fauart:v:58:y:2008:i:5-6:p:248-260

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Related research
Keywords: GARCH; Kalman filter; martingale; weak-efficiency;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

Cited by:
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  1. Walid Abdmoulah, . "Testing the Evolving Efficiency of 11 Arab Stock Markets," API-Working Paper Series 0907, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
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This page was last updated on 2009-12-20.

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