Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets

Francesco Guidi, Rakesh Gupta and Suneel Maheshwari

No 7275, Greenwich Papers in Political Economy from University of Greenwich, Greenwich Political Economy Research Centre

Abstract: In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis, runs test and variance ratio test. We find that stock markets of the CEE do not follow a random walk process. THis is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalised Autoregressive Conditional Heteroscedasticity in Mean ((GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most of markets except for some. Overall results indicate that some of these markets are not weak and an efficient and informed investor can make abnormal profits by studying the past prices of these assets in these markets.

Keywords: emerging stock markets; day-of-the-week effect; market efficiency; variance ratio test; GARCH-M (search for similar items in EconPapers)
Date: 2011-11-04
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Citations: View citations in EconPapers (26)

Published in Journal of Emerging Market Finance 3.10(2011): pp. 337-389

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Related works:
Journal Article: Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets (2011)
Working Paper: Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:gpe:wpaper:7275

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