Market efficiency of the Post Communist East European stock markets
Victor Dragotă () and
Elena Tilica ()
Central European Journal of Operations Research, 2014, vol. 22, issue 2, 307-337
The stock markets from Post Communist East-European Countries are still considered highly speculative. For this reason, the previously performed tests often infirmed the efficient market hypothesis. However, especially in the past years, different studies revealed an improvement in the level of efficiency. In this context, our paper has tested the predictability of returns based on past records (as a proxy for the weak-form efficiency) for the market index and the most important stocks of 20 East European former communist countries: Bosnia-Herzegovina, Bulgaria, Croatia, Czech Republic, Estonia, Georgia, Hungary, Kazakhstan, Latvia, Lithuania, Former Yugoslav Republic of Macedonia, Moldova, Montenegro, Poland, Romania, Russia, Serbia, Slovakia, Slovenia, and Ukraine, for the period January 2008–December 2010, a period of financial crisis for most of these countries. Various methods for testing were used (unit root tests, runs test, variance ratio test, filter rules test and the January Effect). The tests have revealed that for some assets the efficient market hypothesis cannot be rejected. However, the results have shown that there are serious doubts concerning the stock market efficiency for all the countries in the analyzed period. Moreover, heterogeneity between the results for different countries was revealed. A higher level of market efficiency can suggest to decision-makers the use of passive portfolio management techniques while a lower level of efficiency implies the use of active portfolio management instruments. Copyright Springer-Verlag Berlin Heidelberg 2014
Keywords: Efficient markets hypothesis (EMH); Weak form EMH; Emerging markets; Capital markets; Post Communist Eastern European Countries; Financial crisis (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:cejnor:v:22:y:2014:i:2:p:307-337
Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10100
Access Statistics for this article
Central European Journal of Operations Research is currently edited by Ulrike Leopold-Wildburger
More articles in Central European Journal of Operations Research from Springer, Slovak Society for Operations Research, Hungarian Operational Research Society, Czech Society for Operations Research, Österr. Gesellschaft für Operations Research (ÖGOR), Slovenian Society Informatika - Section for Operational Research, Croatian Operational Research Society
Series data maintained by Sonal Shukla ().