Eseje o Informaci na Finančních Trzích

Štefko, Peter

Peter Štefko - Dissertation Essays on Information in Financial Markets Abstract The first chapter of this dissertation carries out a multidimensional investigation of weak-form market efficiency for the stock market indices of the United States, Germany, and five CEE countries during the years following the 2008 Global Financial Crisis. We analyze developments over time in the predictable power and potential profitability of three classes of well known technical trading rules applied to market index prices, sampled at three different frequencies: daily, hourly, and 15-minute. We approach our analysis by testing for true abnormal performance of trading rules using White's Reality Check procedure as well as by evaluating a simple out of sample investment strategy based on ex-post best performing trading rules. We find that, while the developed stock markets of the US and Germany exhibit results strongly consistent with market efficiency at all three sampling frequencies, some evidence of predictable power of technical analysis (consistent with the concept of adaptive efficiency introduced by Lo (2005)) is present for the stock markets of Austria, the Czech Republic, Hungary, Poland, and Slovenia at the two intraday sampling frequencies. However, the results are challenged when we take transaction costs into...

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