Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets

Francesco Guidi, Rakesh Gupta and Suneel Maheshwari

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak form efficiency in the markets this study uses, autocorrelation analysis, runs test, and variance ratio test. We find that stock markets of the Central and Eastern Europe do not follow a random walk process. This is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most markets except for some. Overall results indicate that some of these markets are not weak form efficient and an informed investor can make abnormal profits by studying the past prices of the assets in these markets.

Keywords: Emerging stock markets; day-of-the-week effect; market efficiency; variance ratio test; GARCH-M. (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)
Working Paper: Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:21984

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