Efficient market hypothesis, stock indexes and ETF funds

The aim of this bachelor's thesis is to test whether the movement of stock prices is random, in line with the efficient market hypothesis, or whether their movement can be predicted based on available information. The synthesis of professional literature suggests that the efficient market hypothesis is not universally accepted and there are empirically supported anomalies that refute the hypothesis. In the context of anomalies, it is necessary to take into account the existence of transaction costs, which reduce potential profits realized through anomalies. ETF funds are generally perceived as an innovation in passive investing, but they also have their critics. They point to potential distortions in the underlying asset market and other risks. In the time frame of 1970-2020, the thesis tests the behaviour of prices in the S&P 500 stock index, which are explained by oil prices and US macroeconomic indicators. The resulting model shows that there is a statistically significant effect of the unemployment rate and changes in interest rates on the prices of the index in the next quarter. Since the model predicts the future movement of stock prices, the efficient market hypothesis in its weak form is rejected.