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The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks

Author

Listed:
  • BRATIAN Vasile

    (Lucian Blaga University of Sibiu, Romania)

  • BUCUR Amelia

    (Lucian Blaga University of Sibiu, Romania)

Abstract

The capital markets are in continuous development and change, which raises the question whether the market hypotheses are still relevant and statistically valid in the present times. Thus, this paper presents an analysis of the development and the current status of the capital market hypotheses. Moreover, the paper presents a summary of the tests used to assess form efficiency in a developing market, and of the research methods used to detect chaos in a financial time series.

Suggested Citation

  • BRATIAN Vasile & BUCUR Amelia, 2017. "The Development And The Current Status Of The Capital Market Hypotheses: A Few Benchmarks," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(1), pages 22-28, April.
    • Handle: RePEc:blg:reveco:v:69:y:2017:i:1:p:22-28
    as

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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/69102bratian&bucur.pdf
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    References listed on IDEAS

    as
    1. Vasile Radu Bratian & Claudiu Ilie Opreana, 2010. "Testing The Hypothesis Of An Efficient Market In Terms Of Information – The Case Of The Capital Market In Romania During Recession," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 5(3), pages 79-106, December.
    2. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
    3. Alexandru Todea & Adrian Zoicas-Ienciu, 2008. "Episodic dependencies in Central and Eastern Europe stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 15(14), pages 1123-1126.
    4. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
    5. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
    6. J.A. Hołyst & M. Żebrowska & K. Urbanowicz, 2001. "Observations of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy?," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 20(4), pages 531-535, April.
    7. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other

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