Advanced Search
MyIDEAS: Login

Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets

Contents:

Author Info

  • Alexandru Todea
  • Dorina Lazar

Abstract

This study investigates the effects of the Global crisis on the relative efficiency of ten Central and Eastern European emerging stock markets, using the Generalized Spectral test of Escanciano and Velasco (2006) in a rolling window approach. This test is robust to the distributional assumptions, to the presence of time-varying volatility, being able to detect a wide range of linear and non-linear dependencies in conditional mean. The results suggest that the degree of markets inefficiency varies through time, providing empirical support for the Adaptive Market Hypothesis rather than for a clear trend towards higher efficiency as postulated by the classical Efficient Market Hypothesis. Surprisingly, during the crisis period there has been registered an improvement of the degree of efficiency in the case of seven markets out of ten.

Download Info

If 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.
File URL: http://www.rfb.ase.ro/articole/articol4.pdf
File Function: Full text
Download Restriction: no

Bibliographic Info

Article provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.

Volume (Year): 04 (2012)
Issue (Month): 1 (June)
Pages: 045-053

as in new window
Handle: RePEc:rfb:journl:v:04:y:2012:i:1:p:045-053

Contact details of provider:
Postal: Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania
Phone: 0040-01-2112650
Fax: 0040-01-3129549
Email:
Web page: http://www.fin.ase.ro/
More information through EDIRC

Related research

Keywords:

References

References listed on IDEAS
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.:
as in new window
  1. Lim, Kian-Ping & Brooks, Robert D., 2010. "Why Do Emerging Stock Markets Experience More Persistent Price Deviations From A Random Walk Over Time? A Country-Level Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 14(S1), pages 3-41, May.
  2. repec:ltr:wpaper:2010.07 is not listed on IDEAS
  3. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
  4. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. Graham Smith, 2009. "Martingales in European emerging stock markets: Size, liquidity and market quality," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 249-262.
  6. Amélie Charles & Olivier Darné & Jae H Kim, 2010. "Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis," Working Papers 2010.07, School of Economics, La Trobe University.
  7. Alexandru Todea & Adrian Zoicas-Ienciu, 2008. "Episodic dependencies in Central and Eastern Europe stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1123-1126.
  8. Lim, Kian-Ping & Brooks, Robert D. & Kim, Jae H., 2008. "Financial crisis and stock market efficiency: Empirical evidence from Asian countries," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 571-591, June.
  9. Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 290-300.
  10. Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
  11. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
  12. Hoque, Hafiz A.A.B. & Kim, Jae H. & Pyun, Chong Soo, 2007. "A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 16(4), pages 488-502.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Ciumas Cristina & Chis Diana-Maria & Botos Horia Mircea, 2012. "Global Financial Crisis And Unit-Linked Insurance Markets Efficiency: Empirical Evidence From Central And Eastern European Countries," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 443-448, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:04:y:2012:i:1:p:045-053. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tatu Lucian).

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.