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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.

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Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

Volume (Year): 6 (2009)
Issue (Month): 2 (June)
Pages: 147-160

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