Ověření výskytu anomálií narušujících tržní efektivnost na vybraných světových trzích

Abstract

The aim of this diploma thesis is to verify the occurrence of selected calendar anomalies in stock markets for the Bovespa Index, BSE SENSEX, Jakarta Composite Index and MerVal Index in 2000–2020. The selected anomalies are the January Effect and the Day of the Week Effect. The introduction describes the efficient market hypothesis and some market anomalies. In the next part, there are described the statistical methods which are applied in the practical part. The occurrence of selected anomalies was tested by descriptive statistics, t-test, ANOVA and linear regression with dummy variables. In conclusion, the achieved results are interpreted.