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Testing the weak form of efficiency on czech and slovak stock market

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  • Jana Hančlova

  • Eva Rublikova

Abstract

The article deals with the testing of the weak form of efficiency on Czech and Slovak stock market during the period 2000–2004 based on daily returns representing index PX50 and SAX30 in the form of martingale as well as in the form of random walk. Concerning functional model forms of conditional variance, the linear and nonlinear volatility models have been estimated and half-life of the variance on the markets, presence of leverage effect or risk aversion have been evaluated.

Suggested Citation

  • Jana Hančlova & Eva Rublikova, 2006. "Testing the weak form of efficiency on czech and slovak stock market," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 16(1), pages 21-38.
    • Handle: RePEc:wut:journl:v:1:y:2006:p:21-38
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    References listed on IDEAS

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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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