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Efektywność informacyjna rynku finansowego w wybranych krajach Unii Europejskiej
Dominik Kubacki
2019
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The aim of the book is an attempt to assess whether the selected European financial markets have been informationally efficient in the years 2004-2017 in the semi-strong form and to comparatively analyse if selected emerging markets differ from mature markets. The study is an attempt to verify the hypothesis of above-average rate of return on various financial assets to announce the decision of the central bank to change or leave the reference rate unchanged and to issue a decision by the national statistical institution with the Gross Domestic Product index on the yield curve and the stock market. In the empirical part of the dissertation is presented and applied analysis of test events. In a study to compare several financial markets, author selected three countries: Poland, Czech Republic and Great Britain whose choice resulted from several common features that were characterized in the book. The study used the following financial instruments: interest interbank FRA contracts, bonds, swaps IRS indices. The obtained results of empirical research on the markets in Poland, the Czech Republic and the United Kingdom have shown that the analyzed financial markets are not fully compliant with the theory of effective markets in the form of an average. However, as detailed analysis of individual segments of financial markets in individual countries had such features.
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Keywords
- efficient market hypothesis
- event t
- semi-strong-form efficiency
Links
DOI: 10.18778/8142-548-3Editions