Market Efficiency in the Prague Stock Exchange
|Author:||Mgr. Ondřej Nezdara|
|Year:||2003 - summer|
|Leaders:|| prof. Ing. Miloslav Vošvrda CSc.
|Work type:|| Financial Markets
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good masters diploma thesis|
|Abstract:||The Czech capital market is often denoted as a market with low level of efficiency in comparison with the mature markets. The aim of my paper is to try to find out whether it is true or not. The tests of weak form of market efficiency do not show significantly different behavior of Czech and foreign (German and U.S.) stocks. Some methods even admit higher level of efficiency to the Czech market. In all three markets it was possible to find a strategy which beats the market in the period from January 1997 to December 2002. However, it could not be used in the real situation to gain an excess profit because the bid-ask spread as well as the fee for every trade erases the possibility to avail the strategy. Controversy, the tests of semi-strong form of efficiency (event studies) when I focused on the earning announcement adjustment show lower level of efficiency in the Prague Stock Exchange than in the U.S. market. First, in the PSE there is significantly non-zero adjustment of price to the new information already before the day of publishing (the prove of insider trading). Second, the market needs several weeks to value the new information|
|Downloadable:|| Diploma Thesis - Nezdara