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 =========================================================================