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Liquidity And Informational Inefficiency. The Case Of Romania


  • CIOACĂ, Sorin-Iulian

    (The Bucharest University of Economic Studies)


The theory of financial markets developed by Eugene Fama was one of the conceptual bases of the studies trying to explain the financial assets’ price changes. This theory was also important for the development of certain segments of the financial industry, such as mutual funds, in terms of supporting the development and diversification of these funds, understanding the raise in the value of the assets under administration and the importance of this segment within the financial market. We shall test the efficient market hypothesis on the Romanian capital market, using the closing values of the BET index (the most important index for the Bucharest Stock Exchange) for the period January 3rd, 2007 – March 13, 2015. We perform the unit root tests, Jarque-Bera test, multiple variance ratio test and the GARCH model. The results of the study show that the Romanian capital market does not present the weak form of informational efficiency. A possible explanation comes from the low liquidity of the Romanian capital market, so that the price of the listed companies is not a relevant measure for the intrinsic value of those companies.

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  • CIOACĂ, Sorin-Iulian, 2015. "Liquidity And Informational Inefficiency. The Case Of Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 80-92.
  • Handle: RePEc:vls:finstu:v:19:y:2015:i:1:p:80-92

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    References listed on IDEAS

    1. Panait, Iulian & Lupu, Iulia, 2009. "The Behavior Of The Bucharest Stock Exchange During The Current Financial Markets Crisis And Proposed Measures For Its Sustainable Development," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 1(1), pages 73-80.
    2. 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.
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    More about this item


    efficient market; capital market; index; return;

    JEL classification:

    • 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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