Is the Czech Capital Market Weak Form Efficient?
| dc.contributor.author | Říhová, Pavla | |
| dc.contributor.author | Svoboda, Milan | |
| dc.date.accessioned | 2022-12-19T11:00:11Z | |
| dc.date.available | 2022-12-19T11:00:11Z | |
| dc.date.issued | 2022 | |
| dc.description.abstract-translated | This study deals with the short-term prediction of share prices in the Czech stock market. A stochastic model based on the analysis of simple Markov chains was used for the short-term prediction of share prices. Buy and sell signals were generated on the basis of this prediction. The prediction model is considered to be successful if trading with the use of this model outperforms the market; in other words, it yields higher returns than the passive “Buy and Hold” investment strategy. The study was performed using daily data from the Czech stock market for the 14-year period, from the beginning of 2006 until the end of 2019, i.e., approximately 3,500 trading days. The study results have shown that stocks that are traded in higher turnovers outperformed the Buy and Hold strategy over the period under review. Conversely, stocks that are traded daily in low turnovers do not outperform the Buy and Hold strategy. Thus, it seems that stocks traded in large turnovers do not behave efficiently. Stocks traded in small turnovers tend to behave as weak form efficient. | en |
| dc.format | 6 s. | cs |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | ŘÍHOVÁ, P. SVOBODA, M. Is the Czech Capital Market Weak Form Efficient?. In 40th International Conference Mathematical Methods in Economics 2022 Proceedings. Jihlava: Vysoká škola polytechnická Jihlava, 2022. s. 306-311. ISBN: 978-80-88064-62-6 | cs |
| dc.identifier.isbn | 978-80-88064-62-6 | |
| dc.identifier.obd | 43937270 | |
| dc.identifier.uri | http://hdl.handle.net/11025/50750 | |
| dc.language.iso | en | en |
| dc.project.ID | SGS-2021-022/Výzkum kvantitativních metod v aplikaci na vybrané ekonomické problémy | cs |
| dc.publisher | Vysoká škola polytechnická Jihlava | cs |
| dc.relation.ispartofseries | 40th International Conference Mathematical Methods in Economics 2022 Proceedings | en |
| dc.rights | © College of Polytechnics Jihlava © Authors of papers | en |
| dc.rights.access | openAccess | en |
| dc.subject.translated | Markov chain analysis | en |
| dc.subject.translated | Efficient Market Hypothesis | en |
| dc.subject.translated | share price prediction | en |
| dc.title | Is the Czech Capital Market Weak Form Efficient? | en |
| dc.type | konferenční příspěvek | cs |
| dc.type | ConferenceObject | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
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