Intraday Market Efficiency for a Typical Central and Eastern European Stock Market: The Case of Romania

Dan Gabriel Anghel

Journal for Economic Forecasting, 2017, issue 3, 88-109

Abstract: Investors increasingly focus on high frequency data for fine-tuning portfolio management decisions in developed, emerging and frontier markets alike. However, the behavior of intraday price movements in the Central and Eastern European stock markets is insufficiently understood. We obtain a large sample of intraday prices in a typical Central and Eastern European stock market and we thoroughly investigate it for dependencies and economic profit opportunities. We determine that intraday price movements present important deviations from a random walk. Despite this, we find that investors are generally unable to use the dependencies imbedded in the price movements to gain economic profits when using trading strategies derived from three popular technical analysis indicators. Overall, we cannot reject the Efficient Market Hypothesis for intraday price movements in Romania. This implies that, because of the existing market frictions, trading on high frequency data is not feasible in the stock market of Romania, at least when using popular technical analysis indicators.

Keywords: Bootstrap; Central and Eastern Europe; Efficient Market Hypothesis; Hour of the Day Effect; Random Walk; Romanian Stock Market; Superior Predictive Ability; Technical Analysis (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.ipe.ro/rjef/rjef3_17/rjef3_2017p88-109.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:rjr:romjef:v::y:2017:i:3:p:88-109

Access Statistics for this article

Journal for Economic Forecasting is currently edited by Lucian Liviu Albu and Corina Saman

More articles in Journal for Economic Forecasting from Institute for Economic Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by Corina Saman ( this e-mail address is bad, please contact ).