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An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange

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  • Felicia Ramona Birau

    (University of Craiova Faculty of Economics and Business Administration)

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    Abstract

    This 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.

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    File URL: http://feaa.ucv.ro/AUCSSE/0039v3-027.pdf
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    Bibliographic Info

    Article 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 ()
    Pages: 194-205

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    Handle: RePEc:aio:aucsse:v:3:y:2011:i:39:p:194-205

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    Related research

    Keywords: efficient market hypothesis; emerging capital markets; financial econometrics; indexes; models;

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    References

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    1. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
    2. 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.
    3. 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.
    4. Houthakker, Hendrik S. & Williamson, Peter J., 1996. "The Economics of Financial Markets," OUP Catalogue, Oxford University Press, number 9780195044072.
    5. Timmermann, Allan & Granger, Clive W. J., 2004. "Efficient market hypothesis and forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
    6. 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.
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