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Efficient Market Hypothesis in Times of the Financial Crisis: Evidence from the Central European Stock Market

机译：金融危机时期的有效市场假说：来自中欧股票市场的证据

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摘要

Efficient market hypothesis (EMH) is an integral part of financial economics for decades. Efficient market fully and accurately reflects all relevant information. Stock market efficiency with respect to a set of reliable information leads to the fact that it is not possible to achieve consistently abnormal returns by trading. The efficiency in the concept of efficient market hypothesis means that the information are fully reflected in stock prices, therefore it is the information efficiency. First it will be discussed the theoretical background of an efficient stock market hypothesis. Then, using data obtained from the Czech and Polish stock market it will be tested the weak form of efficient market hypothesis by linear and nonlinear statistical methods. The aim of this paper is to analyse an impact of the global financial crisis in 2008-09 on the weak form of efficiency of the Czech and Polish stock markets.
机译：几十年来，有效的市场假设（EMH）是金融经济学不可或缺的一部分。高效的市场全面准确地反映了所有相关信息。相对于一组可靠信息的股市效率导致这样的事实，即不可能通过交易获得持续的异常收益。有效市场假说概念中的效率意味着信息完全反映在股票价格中，因此它就是信息效率。首先，将讨论有效股票市场假设的理论背景。然后，使用从捷克和波兰股票市场获得的数据，将通过线性和非线性统计方法来检验有效市场假设的弱形式。本文旨在分析2008-09年全球金融危机对捷克和波兰股票市场效率低下的影响。

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