Politická ekonomie 2007, 55(6):773-791 | DOI: 10.18267/j.polek.623

Test slabé formy efektivnosti středoevropských akciových trhů

Jan Hájek
Praha.

Weak-form efficiency test in the central european capital markets

This study thoroughly analyzes the stock market efficiency hypothesis - its weak form - in the Czech Republic, Poland and Hungary in 1995-2005. It aims to reveal whether trading on historical information about stock prices or indices may lead to economically significant abnormal profits and whether the analyzed markets are comparably efficient. It also tests relative efficiency of the Central European markets compared to developed capital markets that are considered the most effective - the American NYSE, German and Netherlands stock exchanges. Complexity of the results is enhanced by analyzing daily, weekly and monthly returns of both the major regional indices - the Czech PX-50 and PX-D, Hungarian BUX and Polish WIG20 - and individual shares that constitute the indices. Moreover, consequences of the non-synchronous trading for autocorrelations are discussed. In conclusion, the Central European region must be considered as a heterogeneous market. While the Hungarian market generally complies with the hypothesis and behaves weakly efficient, significant linear dependences are typical for the Czech stock market. Some unsystematic departures from the random walk model persist in Poland and the efficiency market hypothesis can not be validated there. Any abnormally profitable investment strategy that exploits technical analysis should thus avoid Hungarian stocks and exploit short-term dependences on the Czech and, to a lesser extant, Polish stock market.

Keywords: efficiency market hypothesis, relative market efficiency, random walk model, variance ratio test, heteroskedasticity, non-synchronous trading, Central European stock markets, weak-form market efficiency
JEL classification: C22, G14

Published: December 1, 2007  Show citation

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Hájek, J. (2007). Weak-form efficiency test in the central european capital markets. Politická ekonomie, 55(6), 773-791. doi: 10.18267/j.polek.623
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