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The Steel European Stock Market Efficiency

Listed author(s):
  • Viorica CHIRILA

    ()

    (Associate Professor, Alexandru Ioan Cuza University of Iasi, Romania)

  • Ciprian CHIRILA

    ()

    (Associate Professor, Alexandru Ioan Cuza University of Iasi, Romania)

Testing the hypothesis of informational efficiency is a permanent preoccupation of researchers because the theories and the models of modern finance are based on it. This paper presents the results obtained after testing the efficiency hypothesis, in the weak form, for the European stock market of the companies that belong to the economic steel sub-sector. Following the use of both linear and non-linear tests of autocorrelation of returns we can conclude that the European stock market in the economic steel sub-sector is inefficient from an informational point of view and the investors in these stocks may obtain better results than those of the European market in general.

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File URL: http://www.ceswp.uaic.ro/articles/CESWP2015_VII4_CHI.pdf
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Article provided by Centre for European Studies, Alexandru Ioan Cuza University in its journal CES Working Papers.

Volume (Year): 7(4) (2015)
Issue (Month): 4 (December)
Pages: 873-880

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Handle: RePEc:jes:wpaper:y:2015:v:7:i:4:p:873-880
Contact details of provider: Web page: http://cse.uaic.ro

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  1. Mircea ASANDULUI, 2012. "A Multi-Horizon Comparison Of Volatility Forecasts: An Application To Stock Options Traded At Euronext Exchange Amsterdam," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 179-190, December.
  2. Pele, Daniel Traian & Voineagu, Virgil, 2008. "Testing Market Efficiency Via Decomposition Of Stock Return. Application To Romanian Capital Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(3), pages 63-79, September.
  3. Andrew Urquhart, 2014. "The Euro and European stock market efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 24(19), pages 1235-1248, October.
  4. Kwesi Enninful & Michael Mark Dowling, 2013. "Robust weak-form efficiency tests in volatile European equity indices," Applied Economics Letters, Taylor & Francis Journals, vol. 20(9), pages 863-868, June.
  5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  6. Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
  7. 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.
  8. Dragota, Victor & Stoian, Andreea & Pele, Daniel Traian & Mitrica, Eugen & Bensafta, Malik, 2009. "The Development of the Romanian Capital Market: Evidences on Information Efficiency," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 147-160, June.
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