G14 - Information and Market Efficiency; Event Studies; Insider TradingReturn

This study aims to investigate whether clean energy exchange traded funds (ETFs) exhibit long-term memory properties and whether the efficient market hypothesis is valid for these assets. The results of the model established to test the dual long memory indicate the existence of long memory in both return and volatility of the ICLN, PBD, PBW series, while the long memory feature is found only in the volatility of the other variables. The results reveal that the selected clean energy ETFs do not exhibit weak efficient market characteristics and volatility has a predictable structure. These results mean that by using the past price movements of clean energy ETFs, future price movements can be predicted and thus above-normal returns can be obtained. In addition, it can be said that risks and uncertainties are effective on the price movements of clean energy ETFs. These results are important for portfolio managers, hedgers and individual and institutional investors aiming to direct their investments to the renewable energy market, as well as for policymakers.

One of the fundamental assumptions of the efficient market hypothesis and the modern portfolio theory are both Gaussian probability distribution and the independence of returns. This paper provides a brief historical review of efforts dealing with capital markets emphasizing their efficiency and counter-tendencies whose goal was to falsify the assumption of independence of returns and their normal distribution. This paper applies a measure of long-range dependence rediscovered and promoted by Mandelbrot to daily returns of 27 selected stock indices. This measure is called Hurst exponent and was estimated using rescaled range analysis. The results are in line with similar papers stating that the series of daily returns are prevailingly persistent which implies the presence of local trends. Such a finding falsifies the assumption of random walk in stock prices.

This paper focuses on impact of central bank's oral commentaries on asset prices, i.e. verbal interventions. The paper maps basic preconditions and key channel how central bank's words mirror into asset prices. A significant part of the paper concentrates on the Czech Republic where the exchange rate floor and accompanying frequent comments from the CNB's Bank Board are in operation since 2013. The first hypothesis tests whether there is asset price-making information during the Bank Board decision days. In this sense, the factor analysis confirms at least two factors which influence various asset prices. It is assumed that former factor concerns the surprise in monetary policy decision and the latter following press conference. The second hypothesis endeavours to specify the components of verbal interventions: position in the Bank Board, verbal intervention form and visibility of intervention topic. Only comments made by the CNB's governor proved to be significant, leading to higher volatility of the exchange rate.

In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found ? the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; and the most efficient capital markets are the stock indices of the most developed countries (FTSE, SPX, NIKKEI and DAX).

The article discusses the approaches and options for identification of disequilibrium asset prices movements. It focuses mainly on theoretical and empirical methods for identifying the so-called "bubbles" in asset prices. Subsequently, the dissimilarity among foreign exchange, stock and real estate markets in the Czech Republic is discussed, and application of selected methods (ratios, statistical and econometric methods) for identification of bubbles on these markets is shown. Its main advantage is that we analyze the problem not only from the perspective of one market, but on the main segments of financial sector. Paper concludes that the misalignment of asset prices during current financial crisis was not significantly different from their values from the second part of nineties.

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.

The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures. The sharpest moves have never been caused by a new number, but developments abroad and unexpected statements of central bankers. Scheduled central bank decisions on the interest rates did not affect yields as much as these two factors. The main message of this text for short term investors is, that in contrast to the USA, it is better for them to follow trading abroad than the Czech fundamentals.

This study thoroughly analyzes the stock market efficiency hypothesis - its weak form - in the Czech Republic, Poland and Hungary in 1995-2005. It aims to reveal whether trading on historical information about stock prices or indices may lead to economically significant abnormal profits and whether the analyzed markets are comparably efficient. It also tests relative efficiency of the Central European markets compared to developed capital markets that are considered the most effective - the American NYSE, German and Netherlands stock exchanges. Complexity of the results is enhanced by analyzing daily, weekly and monthly returns of both the major regional indices - the Czech PX-50 and PX-D, Hungarian BUX and Polish WIG20 - and individual shares that constitute the indices. Moreover, consequences of the non-synchronous trading for autocorrelations are discussed. In conclusion, the Central European region must be considered as a heterogeneous market. While the Hungarian market generally complies with the hypothesis and behaves weakly efficient, significant linear dependences are typical for the Czech stock market. Some unsystematic departures from the random walk model persist in Poland and the efficiency market hypothesis can not be validated there. Any abnormally profitable investment strategy that exploits technical analysis should thus avoid Hungarian stocks and exploit short-term dependences on the Czech and, to a lesser extant, Polish stock market.

Efficient Market Hypothesis has dominated the field of research on capital market theory. It postulates that asset prices are rationally connected to economic realities and always incorporate all the information available to the market. A huge quantity of theoretical works around the world have been devoted to testing this hypothesis. In this paper, the weak form of the Efficient Market Hypothesis is tested on data from the Czech stock market of period 1996-2006. The tested hypothesis is verified by both linear and nonlinear methods. Those linear are: Box-Pierce test, variance ratio test, test of sequences and reversals nad Hurst exponent. The nonlinear ones are: White test, Engle test, Hinich test and BDS test. These tests are carried on stock returns time series of Czech stock market index PX and individual stocks as Telefónica, Komerční banka and ČEZ and series with randomly changed order from original series. The results of the testing indicate that returns, when randomly permutated, are independent, hence they follow a random walk. But it is impossible to maintain it in case of original returns series.It implies that returns of either Czech stock market index or its stocks are not independent and do not follow a random walk.

Learning is a subject of intense research in economics. We present persuasive evidence that learning took place among uninformed heterogeneous agents during a large-scale naturally-occurring set of auctions. Empirical study employs a unique bidding data set of 5000 individual investors that placed their bids in the voucher scheme that in terms of size, incentives, and variation is one of the largest experiments ever conducted. To detect and quantify learning we develop new measures of individual performance during the bidding process on the artificial stock market where prices of goods vary over successive stages of bidding on the basis of supply and demand.

Focus is made on the historical circumstances of the arising of the Czech capital markets. Transformation from state-owned enterprises to private businesses and corporations, via coupon (or voucher) privatization, i.e. distribution of shares to a large number of small shareholders, required a tailor made capital markets. Two competitive project were launched: Prague Stock Exchange and RM-System. As investment funds collected investment vouchers and become important shareholders, large packages of shares were formed and new majority shareholders stepped into their rights and powers. The transfer of ownership finished, public markets lost their broad clientele and had to reduce number of titles traded substancially. Todays capital markets in the Czech Republic are mostly OTC markets, with some contribution of public markets (RMS and PSE), of which more important is the Prague Stock Exchange. The latter is still not fully functional - there has not been any important public offering so far.

According to the effective market theory, the stock prize on an effective market is the best estimate of the stock's current value. This is the basic assumption for predictions using experimental markets. This article describes the first experimental market organised in the Czech Republic, the experimental political market for Czech parliamentary elections in June 2002. In the beginning we briefly describe the methodology of the predictions via electronic markets. Than we give some description of our market- number of traders, their individual results, development of the market activity in time, etc. Finally we compare the result of our election market with the traditional opinion polls. On the basis of his comparison we discuss the advantages and the limitations of the prediction using the experimental markets.