Testing the Weak Form of Efficient Market Hypothesis in Stock Markets

Danyang Pan

Master's thesis

Anotácia:

This thesis is focused on testing the weak form efficiency in different stock markets using linear and nonlinear methods of testing. For the purpose of this thesis we utilized daily time series of Chinese, Japanese and British stock markets in the period from 2003 to 2015. Chinese stock market was approximated by Shanghai and Hong Kong stock markets. In this thesis, we evaluated the weak form of efficiency in three different sub periods including the period of the global financial crisis of 2007-2009 years.

Abstract:

This thesis is focused on testing the weak form efficiency in different stock markets using linear and nonlinear methods of testing. For the purpose of this thesis we utilized daily time series of Chinese, Japanese and British stock markets in the period from 2003 to 2015. Chinese stock market was approximated by Shanghai and Hong Kong stock markets. In this thesis, we evaluated the weak form of efficiency in three different sub periods including the period of the global financial crisis of 2007-2009 years.

Kľúčové slová

Efficient market hypothesis, emerging stock markets, linear methods, martingale, nonlinear methods, random walk, weak form of efficiency.

Keywords

Efficient market hypothesis, emerging stock markets, linear methods, martingale, nonlinear methods, random walk, weak form of efficiency.

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 22. 4. 2016

Obhajoba závěrečné práce

• Obhajoba proběhla 24. 5. 2016
• Vedúci: Petr Seďa
• Oponent: Tomáš Tichý

VŠB - Technical University of Ostrava

Ekonomická fakulta

Master programme / odbor:
Hospodářská politika a správa / Finance