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Czech Capital Market Weak-Form Efficiency, Selected Issues

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  • Jan Hájek
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    Abstract

    The article discusses several factors that should be addressed when analysing linear dependences and testing the Efficient Market Hypothesis on the Czech capital market in order to avoid possible interpretation biases. The conclusions are based on the empirical analysis of the stock return behaviour in 1995-2005 and the generalization of the up-to-date local studies outcomes. It also discusses the market's relative efficiency compared to capital markets that are considered the most effective worldwide and on the European territory - the American NYSE and the German and Netherlands stock exchanges. Significant linear dependences of daily returns are typical on the Czech capital market; its relative efficiency still lags behind the efficiency of the developed markets.

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    Bibliographic Info

    Article provided by University of Economics, Prague in its journal Prague Economic Papers.

    Volume (Year): 2007 (2007)
    Issue (Month): 4 ()
    Pages: 303-318

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    Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:310:p:303-318

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    Related research

    Keywords: weak-form efficiency; variance ratio test; relative efficiency; random walk; non-synchronous trading; efficient market hypothesis; data frequency; Czech stock market; conditional heteroskedasticity;

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    References

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