FINANCIAL MARKET TESTS OF INFORMATIONAL EFFICIENCY: THE CASE OF EMERGENT MARKETS

Camelia Oprean-Stan and Vasile Bratian
Additional contact information
Vasile Bratian: "Lucian Blaga" University of Sibiu

Revista Economica, 2012, vol. 64.6, issue 6, 57-82

Abstract: Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market. These efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the presence of market efficiency in terms of information. This paper tests the weak-form market informational efficiency in Romania. We test the random walk hypothesis of stock exchange index BET of Bucharest Stock Exchange using statistical tests. To test for the existence of the normality hypothesis of distributed instantaneous yields (logarithmic) of stock index we employ Jarque-Bera and QQ-plot tests. The stationary tests for instantaneous yields (logarithmic) of BET that we use are unit root tests, run tests and variance ratio test. The used tests determined empirically the presence of linear dependences for the returns series.

Keywords: efficient market hypothesis; information; emergent; random walk (search for similar items in EconPapers)
JEL-codes: D8 G00 G14 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://economice.ulbsibiu.ro/revista.economica/archive/RE%206-64-2012.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:blg:reveco:v:64.6:y:2012:i:6:p:57-82

Access Statistics for this article

More articles in Revista Economica from Lucian Blaga University of Sibiu, Faculty of Economic Sciences Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No.17, postal code 550324, Sibiu, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Eduard Alexandru Stoica ().