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Capital Market Efficiency in CEE Countries

Author

Listed:
  • Dumitru-Nicu?or Cãrãu?u

    (“Alexandru Ioan Cuza” University of Ia?i)

Abstract

This paper examines if the capital markets from Bulgaria, Czech Republic, Poland, Romania, Slovakia and Hungary were efficient in the weak form between January 2002 to September 2015. We use an autocorrelations test, a runs test, and variance ratios tests, performed on the daily return of the most important stock indices in the selected markets. Our results indicate that neither of our markets follows exactly the random walk model. Instead we find a partial efficiency in certain markets. While the autocorrelation test and unit root tests reject information efficiency, the runs test finds the Slovakian market efficient, while the variance tests indicate weak market efficiency in Slovakia, Hungary, Poland and Czech Republic. In the case of Bulgaria and Romania we find no evidence of market efficiency in either test. This suggest, that in all our countries the historical data could be used to predict future assets price.

Suggested Citation

  • Dumitru-Nicu?or Cãrãu?u, 2015. "Capital Market Efficiency in CEE Countries," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 392-397, May.
    • Handle: RePEc:ovi:oviste:v:xv:y:2015:i:2:p:392-397
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    More about this item

    Keywords

    market efficiency; weak form of efficiency; emerging markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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