AN ANALYSIS OF WEAK-FORM EFFICIENCY ON THE BUCHAREST STOCK EXCHANGE

Felicia Ramona Birau
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Felicia Ramona Birau: University of Craiova Faculty of Economics and Business Administration

Annals of University of Craiova - Economic Sciences Series, 2011, vol. 3, issue 39, 194-205

Abstract: This paper aims to study a controversial issue such as an apparent antagonistic contradiction between the concept of market efficiency and the emerging capital markets. It is very well known the fact that most of the efficient market research have focused on developed capital markets and it is considered in general that emerging capital markets are not efficient in semistrong form or strong form. Emerging capital markets are less efficient than the developed market given their structural and institutional disfunctions. Also, they are volatile and risky but nevertheless it is expected to generate strong investment returns.The main purpose of this study is to test the existence of weak-form efficiency of an emerging capital market, such as Bucharest Stock Exchange (BSE). The analysis is based on the daily price of BSE indexes : BET, BET-C and BET-FI during the period of January 2007 to July 2011.

Keywords: efficient market hypothesis; emerging capital markets; financial econometrics; indexes; models (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G17 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:aio:aucsse:v:3:y:2011:i:39:p:194-205

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