An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange
AbstractThis paper aims to study a controversial issue such as an apparent antagonistic contradiction between the concept of market efficiency and the emerging capital markets. It is very well known the fact that most of the efficient market research have focused on developed capital markets and it is considered in general that emerging capital markets are not efficient in semistrong form or strong form. Emerging capital markets are less efficient than the developed market given their structural and institutional disfunctions. Also, they are volatile and risky but nevertheless it is expected to generate strong investment returns.The main purpose of this study is to test the existence of weak-form efficiency of an emerging capital market, such as Bucharest Stock Exchange (BSE). The analysis is based on the daily price of BSE indexes : BET, BET-C and BET-FI during the period of January 2007 to July 2011.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Craiova, Faculty of Economics and Business Administration in its journal Annals of Computational Economics.
Volume (Year): 3 (2011)
Issue (Month): 39 ()
efficient market hypothesis; emerging capital markets; financial econometrics; indexes; models;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Houthakker, Hendrik S. & Williamson, Peter J., 1996. "The Economics of Financial Markets," OUP Catalogue, Oxford University Press, number 9780195044072.
- Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
- Ross, Stephen A, 1987. "The Interrelations of Finance and Economics: Theoretical Perspectives," American Economic Review, American Economic Association, vol. 77(2), pages 29-34, May.
- Granger, Clive & Timmermann, Allan G, 2002.
"Efficient Market Hypothesis and Forecasting,"
CEPR Discussion Papers
3593, C.E.P.R. Discussion Papers.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anca Bandoi).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.