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Financial Market Tests Of Informational Efficiency: The Case Of Emergent Markets

Author

Listed:
  • OPREAN Camelia

    ("Lucian Blaga" University of Sibiu)

  • BRATIAN Vasile

    ("Lucian Blaga" University of Sibiu)

Abstract

Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market. These efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the presence of market efficiency in terms of information. This paper tests the weak-form market informational efficiency in Romania. We test the random walk hypothesis of stock exchange index BET of Bucharest Stock Exchange using statistical tests. To test for the existence of the normality hypothesis of distributed instantaneous yields (logarithmic) of stock index we employ Jarque-Bera and QQ-plot tests. The stationary tests for instantaneous yields (logarithmic) of BET that we use are unit root tests, run tests and variance ratio test. The used tests determined empirically the presence of linear dependences for the returns series.

Suggested Citation

  • OPREAN Camelia & BRATIAN Vasile, 2012. "Financial Market Tests Of Informational Efficiency: The Case Of Emergent Markets," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 65(6), pages 57-82.
    • Handle: RePEc:blg:reveco:v:64.6:y:2012:i:6:p:57-82
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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/RE%206-64-2012.pdf
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    Citations

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    Cited by:

    1. Syamsul Idul Adha & A. Sakir, 2021. "Effect of Minimum Tick Size Policy on Price Efficiency and Execution Cost," Capital Markets Review, Malaysian Finance Association, vol. 29(2), pages 29-41.
    2. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.

    More about this item

    Keywords

    efficient market hypothesis; information; emergent; random walk;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G00 - Financial Economics - - General - - - General

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