Romanian Capital Market And The Informational Efficiency
AbstractMany financial studies are based on the efficient capital markets hypothesis. In this context, testing the existence of this concept becomes an interesting field of study for the emerging capital market. The aim of this paper is to enlighten the difficulties of portfolio construction in a capital market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are an empirical test for the efficient market hypothesis in the Romanian capital market case. The output of this approach could be resumed by the thesis that, even in a situation when the capital market is affected by severe dysfunctions, there is a possibility to build an "optimal" portfolio.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 5807.
Date of creation: 2007
Date of revision:
efficiency; prices; information;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-24 (All new papers)
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.:
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