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Efficient Market Hypothesis In European Emerging Unit-Linked Insurance Markets

Author

Listed:
  • Cristina Ciumaş

    (Babeş-Bolyai University, Cluj-Napoca)

  • Diana-Maria Chiş

    (Babeş-Bolyai University, Cluj-Napoca)

Abstract

This paper empirically investigates the effects of the recent global crisis on the degree of efficiency or return predictability of three CEE unit-linked insurance markets by testing the martingale difference hypothesis (MDH), applying the variance ratio tests using ranks and signs by Wright (2000), the automatic variance ratio (AVR) test of Kim (2009) and the automatic portmanteau (AQ) test of Escanciano and Lobato (2009), for entire, pre-crisis and crisis periods. The statistical findings show that the degree of the markets’ inefficiency varies through time and surprisingly the empirical results suggest that the global crisis led to a decrease of predictability and hence to an improvement of relative efficiency for most of the nine ING funds.

Suggested Citation

  • Cristina Ciumaş & Diana-Maria Chiş, 2013. "Efficient Market Hypothesis In European Emerging Unit-Linked Insurance Markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(Special I), pages 38-51, March.
  • Handle: RePEc:agr:journl:v:xx:y:2013:i:special-i:p:38-51
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