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Testing The Efficiency Market Hypothesis For The Romanian Stock Market

Author

Listed:
  • Bogdan Dima

    (West University of Timisoara)

  • Laura Raisa Milos

    (Eftimie Murgu University Resita)

Abstract

Efficient Market Hypothesis has dominated the field of research on capital markettheory. It states that asset prices are rationally connected to economic realities and alwaysincorporate all the information available to the market. In this way, securities markets are seen asefficient in reflecting information about individual stocks or about the stock market as a whole. Alarge number of theoretical, as well as empirical papers around the world have had as objectivetesting this hypothesis. Beside reviewing the most important part of literature in this respect, thepaper has as aim testing the Efficient Market Hypothesis on Bucharest Stock Exchange. The testedhypothesis is carried on time series of stock index BET (daily observations), for the period 2000-2009. The econometrical results assert that the weak form of the efficiency market hypothesis isaccomplished.

Suggested Citation

  • Bogdan Dima & Laura Raisa Milos, 2009. "Testing The Efficiency Market Hypothesis For The Romanian Stock Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-41.
  • Handle: RePEc:alu:journl:v:1:y:2009:i:11:p:41
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    File URL: http://oeconomica.uab.ro/upload/lucrari/1120091/41.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.
    2. Mejra Festic & Alenka Kavkler & Silvo Dajcman, 2012. "Long memory in the Croatian and Hungarian stock market returns," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 30(1), pages 115-139.
    3. Victor Dragotă & Elena Ţilică, 2014. "Market efficiency of the Post Communist East European stock markets," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 307-337, June.
    4. Pasca Lucian, 2015. "Testing The Weak-Form Efficiency Of The Romanian Capital Market By Assessing The Random Walk-Like Behaviour Of Stock Prices," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 264-269, April.
    5. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.

    More about this item

    Keywords

    efficiency market hypothesis; Romanian stock exchange; BET;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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