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Market efficiency hypothesis in the time series of CZK/EUR
Článek! Pro signaturu klikni na odkaz In Main entry-name Makovský, Petr, 1985- (author) Title statement Market efficiency hypothesis in the time series of CZK/EUR / Petr Makovský Dostupné též v elektronické podobě In Hradecké ekonomické dny. Hradec Economic Days. - S. 122-127 (tištěný sborník), s. 577-582 (online zdroj) Subj. Headings devizové kurzy devizové trhy devizové obchody forex česká koruna euro ekonomický výzkum Form, Genre články ze sborníku Annotation We are interested in the spot exchange rate movement factors. In this article we introduce standard development in the economics of exchange rates. It starts in the law of one price and in the interest rates parity, then we deduce the Fama´s regression. From this point of knowledge we utilize the C-CAPM solution to find all the factors influencing the relative change in the spot exchange rate. In the practical part we have tested involvement of the presented factors on the empirical time series sample of the Czech economy. The statistical significant feature is achieved just for one factor known from the Fama´s regression. The other newly found seems statistical insignificant. More we discuss the solution in context of the Czech economy and in the context of the economic crisis in the centre of our time horizon. Conspect 339.7/.9 - Světová ekonomika a mezinárodní finance Country Česko Language English URL http://fim2.uhk.cz/hed/data/proceedings_2016_1.pdf Database Articles References - Source document 
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