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Testing Market Efficiency Via Decomposition Of Stock Return. Application To Romanian Capital Market

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Author Info

  • Pele, Daniel Traian

    () (Bucharest University of Economics, Department of Statistics and Econometrics)

  • Voineagu, Virgil

    () (Bucharest University of Economics, Department of Statistics and Econometrics, President of National Institute of Statistics)

Abstract

In this paper we are investigating the market efficiency using a model which decomposes the stock return into two components: a stochastic trend and a white noise component. This model is tested for the Romanian Capital Market, considering the time series of BET (Bucharest Exchange Trade) Index. The conclusion is that for our data sample we cannot reject the efficient market hypothesis for Romanian Capital Market. Classificaefficient market hypothesis, random walk, stochastic trend, ARIMA models, Romanian Capital Market, BET.tion-JEL: C42, G14

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File URL: http://www.ipe.ro/rjef/rjef3_08/rjef3_08_4.pdf
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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): 5 (2008)
Issue (Month): 3 (September)
Pages: 63-79

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Handle: RePEc:rjr:romjef:v:5:y:2008:i:3:p:63-79

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Cited by:
  1. Bogdan Dima & Laura Raisa Milos, 2009. "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 41.

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