Capital Market Efficiency in CEE Countries

Dumitru-Nicu?or Cãrãu?u ()
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Dumitru-Nicu?or Cãrãu?u: “Alexandru Ioan Cuza” University of Ia?i

Ovidius University Annals, Economic Sciences Series, 2015, vol. XV, issue 2, 392-397

Abstract: This paper examines if the capital markets from Bulgaria, Czech Republic, Poland, Romania, Slovakia and Hungary were efficient in the weak form between January 2002 to September 2015. We use an autocorrelations test, a runs test, and variance ratios tests, performed on the daily return of the most important stock indices in the selected markets. Our results indicate that neither of our markets follows exactly the random walk model. Instead we find a partial efficiency in certain markets. While the autocorrelation test and unit root tests reject information efficiency, the runs test finds the Slovakian market efficient, while the variance tests indicate weak market efficiency in Slovakia, Hungary, Poland and Czech Republic. In the case of Bulgaria and Romania we find no evidence of market efficiency in either test. This suggest, that in all our countries the historical data could be used to predict future assets price.

Keywords: market efficiency; weak form of efficiency; emerging markets (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xv:y:2015:i:2:p:392-397

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