Using of correlation and distribution tests for efficiency testing of the Czech capital market

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Petra Střelcová¹  Luboš Střelec² 

[1] Ústav ekonomie, Mendelova zemědělská a lesnická univerzita v Brně, 613 00 Brno, Česká republika;Ústav statistiky a operačního výzkumu, Mendelova zemědělská a lesnická univerzita v Brně, 613 00 Brno, Česká republika;

关键词: theory of efficient capital markets;    efficient market;    forms of efficiency;    weak-form of efficiency;    correlation tests;    distribution tests;   

DOI  :  10.11118/actaun200957060241

来源: DOAJ

【 摘 要 】

This paper deals with efficiency testing of the Czech stock market. In this work there are defined different forms of efficiency, whereas key attention is focused on the weak-form of market efficiency. The goal of this paper is to find the weak-form of efficiency with the help of various tests. We have used some basic methods for our analysis: the autocorrelation coefficient, the Ljung-Box test and selected tests of normality – some classical normality tests (the Shapiro-Wilk test, the Jarque-Bera test, the Lilliefors test) and some robust normality tests (the robust Jarque-Bera test, the directed SJ test and medcouple MC-LR test). Source data for purpose of testing of weak-form of efficiency include years from 2000 to 2008, whereas daily and monthly logarithmic returns of the stock exchange market index PX are analyzed. In this paper we also analyze the daily and monthly logarithmic returns of the U.S. stock exchange market index DJI for purposes of comparison.

【 授权许可】

Unknown