EFFICIENT MARKET HYPOTHESIS IN EUROPEAN EMERGING UNIT-LINKED INSURANCE MARKETS

Cristina Ciumaş and Diana-Maria Chiş
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Cristina Ciumaş: Babeş-Bolyai University, Cluj-Napoca
Diana-Maria Chiş: Babeş-Bolyai University, Cluj-Napoca

Theoretical and Applied Economics, 2013, vol. XX, issue Special I, 38-51

Abstract: This paper empirically investigates the effects of the recent global crisis on the degree of efficiency or return predictability of three CEE unit-linked insurance markets by testing the martingale difference hypothesis (MDH), applying the variance ratio tests using ranks and signs by Wright (2000), the automatic variance ratio (AVR) test of Kim (2009) and the automatic portmanteau (AQ) test of Escanciano and Lobato (2009), for entire, pre-crisis and crisis periods. The statistical findings show that the degree of the markets’ inefficiency varies through time and surprisingly the empirical results suggest that the global crisis led to a decrease of predictability and hence to an improvement of relative efficiency for most of the nine ING funds.

Keywords: market efficiency; global financial crisis; unit-linked insurance markets; variance ratio tests; automatic portmanteau test. (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xx:y:2013:i:special-i:p:38-51

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