EFFICIENT MARKET HYPOTHESIS: CASE OF THE CROATIAN CAPITAL MARKET

Q3 Social Sciences InterEULawEast Pub Date : 2019-06-01 DOI:10.22598/IELE.2019.6.1.2
I. Novak
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引用次数: 3

Abstract

This study employs a quantile auto-regression approach in order to examine the market efficiency of the Croatian stock market using daily CROBEX returns in the period of 2000-2019. Auto-regression model AR (1) confirmed the significant influence of the previous day return, nevertheless model suffered from heteroscedasticity. In order to avoid the OLS restrictions, this paper applies the quantile unit root approach. According to the results of the quantile unit root weak form of the efficient market, the hypothesis was rejected. Endogenous shocks were found to be persistent and asymmetric. Model results stayed robust regardless of the structural break. This predictable behavior of CROBEX may enable investors to obtain abnormal profits.
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有效市场假说:以克罗地亚资本市场为例
本研究采用分位数自回归方法,利用2000-2019年期间CROBEX的每日回报来检验克罗地亚股市的市场效率。自回归模型AR(1)证实了前一天收益的显著影响,但模型存在异方差。为了避免OLS的限制,本文采用了分位数单位根法。根据有效市场的分位数单位根弱形式的结果,否定了这一假设。发现内源性冲击是持续的和不对称的。无论结构断裂如何,模型结果都保持稳健。CROBEX的这种可预测行为可能使投资者获得异常利润。
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来源期刊
InterEULawEast
InterEULawEast Social Sciences-Law
CiteScore
1.10
自引率
0.00%
发文量
11
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