TESTING THE RANDOM WALK HYPOTHESIS AND THE LONG MEMORY FOR THE ROMANIAN CAPITAL MARKET

Ioana Sorina Mihuţ, Mihaela Lutas and Andreea Pece
Additional contact information
Ioana Sorina Mihuţ: “Babeş-Bolyai” University, Cluj-Napoca
Mihaela Lutas: “Babeş-Bolyai” University, Cluj-Napoca
Andreea Pece: “Babeş-Bolyai” University, Cluj-Napoca

Theoretical and Applied Economics, 2013, vol. XX, issue Special I, 357-372

Abstract: The capital markets across different economies have always been an extremely debated subject that represents a key point when discussing about the overall degree of performance of any economy. The main purpose of this article is to test the random walk hypothesis for the Romanian stock market using a variety of econometric instruments including Lee Strazicich test, ADF and PP tests, Ljung Box test, runs test, variance ratio tests. The results obtained states the fact that the random walk hypothesis is rejected for BET Index if we analyze the entire period. In the case of stocks the results are extremely mixed.

Keywords: random walk; long memory; ARFIMA model. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://store.ectap.ro/suplimente/International_Fin ... _BA_2013_XIth_Ed.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xx:y:2013:i:special-i:p:357-372

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().