Testování středně silné formy efektivnosti na vybraných akciových trzích

Abstract

The efficient markets hypothesis, popularly known as the random walk theory, is the proposition that current stock prices fully reflect available information about the value of the firm, and there is no way to earn excess profits. The aim of the diploma thesis is testing the semistrong form of market efficiency in the selected stock markets through econometric method, event study. The efficiency of Czech, German and French stock market is assessed in relation to the seven notices of international rating agency Moody´s about changes rating of Greek government bonds for the period 2009-2012. The study includes companies, whose shares are based on the PX index, DAX30 index and CAC40 index. Diploma thesis is divided into three chapters. In the second chapter the efficient market hypothesis is described. This theory has been one of the most discussed theory in finance. In this chapter it is defined the concept of the efficient market and its assumptions, including three versions of the efficient markets. At the end of the chapter the best-known markets anomalies are described. In the third chapter the basic approaches to testing the weak, semistong and strong form of market efficiency are characterized. The semistrong form of market efficiency is often tested by using method event study. The base of this method is to determine the abnormal returns, which can be defined as the difference between actual and equilibrium returns. Testing the semistrong form of market efficiency in selected stock markets is placed in the fourth chapter. The efficiency of markets is analyzed by nonparametric tests, sign and Wilcoxon test.