SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 27. January 1997
Dusan M^ÐSZAROS
(ING Baring Securities - Bratislava)
On Efficiency and Anomalies of the Slovak Capital Market
Abstract:
In this paper I test for predictability of stock prices traded on
the Bratislava Stock Exchange and document some anomalies of
the Slovak capital market. Three of the five most liquid stocks
conform to a random walk, but both Slovak stock market indexes do not.
I show that 74 % of the securities have significant first lag
autocorrelation with a negative mean autocorrelation of -0.217.
The indexes exhibit daily seasonality: The average Monday return
is negative and significantly different from the average returns
of the rest of the week. The volatility of the stock returns is
largest over the weekend and the highest average daily turnover
is reported for Mondays. In the cross-sectional regression a model
with standard market beta explains only 33.8 % of the expected return.
However, a model with beta and natural logarithm of the firm size
explains 74.4 % of the expected returns.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info:
http://www.wsr.ac.at/ihs-html/fin/finsem.html
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