Testování efektivnosti akciových trhů pomocí lineárních a nelineárních metod

Abstract

The purpose of this thesis is an empirical testing of the weak form of the efficiency on the British, French, German and American stock market using linear and non-linear statistical methods in the period from 2004 to 2017. Index FTSE 100, CAC 40, DAX and S&P 500 were selected as representatives of analysed stock markets. The test period was divided into three time periods. The thesis is divided into 6 chapters, including the introduction and the conclusion. There is a chapter focusing on the characteristics of the effective market hypothesis, followed by description of models and tests of the weak form efficiency. There is a summary of the results at the end of the thesis.