Statistical Properties of the Czech Capital Market.

This diploma thesis tackles the behavioral description of stocks which are offered at Prague Stock Exchange (PSE). This is carried out by comparison of Statistical properties of returns of individual trades and market makers' quotes during the random walk , tail behavior and ARCH modeling studies. Achieved results are then confronted with the results observed at large financial markets such as New York Stock Exchange (NYSE) and London Stock Exchange (LSE). Based on approaches mentioned above we conclude, that market makers behavior at PSE is quite dependent on the individual trades which have been made on the market and that the reac tion time of the whole market to these changes is nearly instantaneous, thus PSE could be regarded as a very effec tive market. Anoth er property of PSE is, that the price of individual trades is considerably stable in a few days horizon and market makers' quotes are oscillating around this price, thus Czech market could be considered as substantially stable and competitive