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The Development of the Romanian Capital Market: Evidences on Information Efficiency


  • Dragota, Victor

    () (Academy of Economic Studies, Bucharest, Department of Finance)

  • Stoian, Andreea

    () (Academy of Economic Studies, Bucharest, Department of Finance)

  • Pele, Daniel Traian

    () (Academy of Economic Studies, Bucharest, Department of Statistics and Econometrics)

  • Mitrica, Eugen

    () (Academy of Economic Studies, Bucharest, Department of Finance)

  • Bensafta, Malik

    () (GERCIE, Université François Rabelais de Tours)


The Romanian capital market has considerably grown in the last decade. This study reveals new evidences regarding informational efficiency of this market. Applying Multiple Variance Ratio test to random walk hypothesis, assuming, on the one hand homoskedasticity, and on the other hand heteroskedasticity, it was found that for most of the stock prices the random walk hypothesis cannot be rejected. Consequently, the returns are not predictable by using the series of historical returns. Based on these results, there are not enough reasons to reject the Efficient Market Hypothesis in its weak form.

Suggested Citation

  • 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.
  • Handle: RePEc:rjr:romjef:v:6:y:2009:i:2:p:147-160

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    References listed on IDEAS

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    Cited by:

    1. Dan Gabriel Anghel, 2015. "Market Efficiency and Technical Analysis in Romania," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 164-177, April.
    2. 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.
    3. Catalin Drob, 2014. "Recent Evolution Of The Capital Markets In Romania," Studies and Scientific Researches. Economics Edition, "Vasile Alecsandri" University of Bacau, Faculty of Economic Sciences, issue 20.
    4. Victor DRAGOTA & Carmen LIPARA & Radu CIOBANU, 2013. "Agency Problems and Synergistic Effects in Romania: The Determinants of the Control Premium," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(2), pages 197-219, May.
    5. Viorica CHIRILA & Ciprian CHIRILA, 2015. "The Steel European Stock Market Efficiency," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 7(4), pages 873-880, December.
    6. Dan Anghel, 2013. "How Reliable is the Moving Average Crossover Rule for an Investor on the Romanian Stock Market?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 089-115, December.
    7. Drags Mînjina & Petre Brezeanu, 2013. "Testing the Efficient Markets Hypothesis on the Romanian Capital Market," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, vol. 1(15), pages 151-158, December.
    8. 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.
    9. Vintilă Georgeta & Nenu Elena Alexandra & Gherghina Ştefan Cristian, 2014. "Empirical Research Towards the Factors Influencing Corporate Financial Performance on the Bucharest Stock Exchange," Scientific Annals of Economics and Business, De Gruyter Open, vol. 61(2), pages 219-233, December.
    10. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.

    More about this item


    information; capital markets; market efficiency; random walk; predictability of returns; Romania;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance


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