Testing The Efficiency Market Hypothesis For The Romanian Stock Market
AbstractEfficient Market Hypothesis has dominated the field of research on capital markettheory. It states that asset prices are rationally connected to economic realities and alwaysincorporate all the information available to the market. In this way, securities markets are seen asefficient in reflecting information about individual stocks or about the stock market as a whole. Alarge number of theoretical, as well as empirical papers around the world have had as objectivetesting this hypothesis. Beside reviewing the most important part of literature in this respect, thepaper has as aim testing the Efficient Market Hypothesis on Bucharest Stock Exchange. The testedhypothesis is carried on time series of stock index BET (daily observations), for the period 2000-2009. The econometrical results assert that the weak form of the efficiency market hypothesis isaccomplished.
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Bibliographic InfoArticle provided by Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia in its journal Annales Universitatis Apulensis Series Oeconomica.
Volume (Year): 1 (2009)
Issue (Month): 11 ()
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efficiency market hypothesis; Romanian stock exchange; BET;
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
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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