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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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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. Dan Anghel, 2013. "How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 089-115, December.
  2. 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.
  3. Panait, Iulian & Diaconescu, Tiberiu, 2012. "Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București
    [Particularities of applying Modern Portfolio Theory on the Romanian capi
    ," MPRA Paper 44248, University Library of Munich, Germany.

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