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Testing The Random Walk Hypothesis And The Long Memory For The Romanian Capital Market

Author

Listed:
  • Ioana Sorina Mihuţ

    (“Babeş-Bolyai” University, Cluj-Napoca)

  • Mihaela Lutas

    (“Babeş-Bolyai” University, Cluj-Napoca)

  • Andreea Pece

    (“Babeş-Bolyai” University, Cluj-Napoca)

Abstract

The capital markets across different economies have always been an extremely debated subject that represents a key point when discussing about the overall degree of performance of any economy. The main purpose of this article is to test the random walk hypothesis for the Romanian stock market using a variety of econometric instruments including Lee Strazicich test, ADF and PP tests, Ljung Box test, runs test, variance ratio tests. The results obtained states the fact that the random walk hypothesis is rejected for BET Index if we analyze the entire period. In the case of stocks the results are extremely mixed.

Suggested Citation

  • Ioana Sorina Mihuţ & Mihaela Lutas & Andreea Pece, 2013. "Testing The Random Walk Hypothesis And The Long Memory For The Romanian Capital Market," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(Special I), pages 357-372, March.
    • Handle: RePEc:agr:journl:v:xx:y:2013:i:special-i:p:357-372
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