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The Development of the Romanian Capital Market: Evidences on Information Efficiency

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Author Info

  • Dragota, Victor

    ()
    (Academy of Economic Studies, Bucharest, Department of Finance)

  • Stoian, Andreea

    ()
    (Academy of Economic Studies, Bucharest, Department of Finance)

  • Pele, Daniel Traian

    ()
    (Academy of Economic Studies, Bucharest, Department of Statistics and Econometrics)

  • Mitrica, Eugen

    ()
    (Academy of Economic Studies, Bucharest, Department of Finance)

  • Bensafta, Malik

    ()
    (GERCIE, Université François Rabelais de Tours)

Abstract

The Romanian capital market has considerably grown in the last decade. This study reveals new evidences regarding informational efficiency of this market. Applying Multiple Variance Ratio test to random walk hypothesis, assuming, on the one hand homoskedasticity, and on the other hand heteroskedasticity, it was found that for most of the stock prices the random walk hypothesis cannot be rejected. Consequently, the returns are not predictable by using the series of historical returns. Based on these results, there are not enough reasons to reject the Efficient Market Hypothesis in its weak form.

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Bibliographic Info

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

Volume (Year): 6 (2009)
Issue (Month): 2 (June)
Pages: 147-160

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Handle: RePEc:rjr:romjef:v:6:y:2009:i:2:p:147-160

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Related research

Keywords: information; capital markets; market efficiency; random walk; predictability of returns; Romania;

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Cited by:
  1. Victor DRAGOTA & Carmen LIPARA & Radu CIOBANU, 2013. "Agency Problems and Synergistic Effects in Romania: The Determinants of the Control Premium," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(2), pages 197-219, May.
  2. 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.
  3. Drags Mînjina & Petre Brezeanu, 2013. "Testing the Efficient Markets Hypothesis on the Romanian Capital Market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(15), pages 151-158, December.

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