Episodic dependencies in Central and Eastern Europe stock markets

Alexandru Todea () and Adrian Zoicas-Ienciu

Applied Economics Letters, 2008, vol. 15, issue 14, 1123-1126

Abstract: This article introduces a modified version of the Hinich and Patterson (1995) windowed-test procedure and uses it to detect linear and nonlinear dependencies in the case of six Central and East European stock markets. Testing the original methodology leads us to the same conclusions as those found on other emerging markets: relatively long random walk periods are interrupted by short and intense linear and/or nonlinear correlations. But, our findings diverge when we run the modified test procedure, additional windows rejecting the random walk hypothesis (RWH) being isolated. This divergence, heavily weighing the task of correctly evaluating the informational efficiency degree (the weak form), is significant for the Czech, Hungarian and Romanian markets.

Date: 2008
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DOI: 10.1080/13504850600993614

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