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Hanousek Jan, Filer Randall K.
The Relationship Between Economic Factors and Equity Markets in Central Europe
The Economics of Transition, 2000, vol. 8, nr 3, s. 623-638
Zmienne ekonomiczne, Rynek kapitałowy, Efektywność rynku
Economic variables, Capital market, Market effectiveness
Węgry, Republika Czeska, Polska
Hungary, Czech Republic, Poland
Celem artykułu jest sprawdzenie, czy nowo powstałe rynki akcji w Europie Środkowej wykazują średnio-mocną formę wydajności (semi-strong efficiency), charakteryzowaną jako taką, w której nie ma związków pomiędzy opóźnionymi wartościami zmian zmiennych ekonomicznych a zmianami w cenach akcji.

This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created.
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