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)
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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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Find related papers by JEL classification: G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance