Issue: 2006/Vol.16/No.1, Pages 21-38
TESTING THE WEAK FORM OF EFFICIENCY ON CZECH AND SLOVAK STOCK MARKET
Jana Hančlova
, Eva Rublikova
Cite as: J. Hančlova, E. Rublikova. Testing the weak form of efficiency on czech and slovak stock market. Operations Research and Decisions 2006: 16(1), 21-38.
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.
Keywords: Stock market efficiency, GARCH models, martingale form of efficiency, random walk, Czech and Slovak stock market, testing the weak form of efficiency
Received: Accepted: