The Development of the Romanian Capital Market: Evidences on Information Efficiency

Romanian Journal of Economic Forecasting Volume: 10 Issue: 2 Pages: 147-160, 209

14 Pages Posted: 20 Dec 2012

See all articles by Victor Dragota

Victor Dragota

Bucharest University of Economic Studies

Andreea Maria Stoian

Bucharest Academy of Economic Studies

Daniel Traian Pele

The Bucharest University of Economic Studies, Department of Statistics and Econometrics; Romanian Academy - Institute for Economic Forecasting

Eugen Mitrica

Bucharest Academy of Economic Studies

Malik Kamel Bensafta

Université François Rabelais de Tours - GERCIE

Date Written: 2009

Abstract

The Romanian capital market has considerably grown in the last decade. This study reveals new evidences regarding informational efficiency of this market. Applying Multiple Variance Ratio test to random walk hypothesis, assuming, on the one hand homoskedasticity, and on the other hand heteroskedasticity, it was found that for most of the stock prices the random walk hypothesis cannot be rejected. Consequently, the returns are not predictable by using the series of historical returns. Based on these results, there are not enough reasons to reject the Efficient Market Hypothesis in its weak form.

Keywords: information, capital markets, market efficiency, random walk, predictability of returns, Romania

JEL Classification: G14, P34

Suggested Citation

Dragota, Victor and Stoian, Andreea Maria and Pele, Daniel Traian and Mitrica, Eugen and Bensafta, Malik Kamel, The Development of the Romanian Capital Market: Evidences on Information Efficiency (2009). Romanian Journal of Economic Forecasting Volume: 10 Issue: 2 Pages: 147-160, 209, Available at SSRN: https://ssrn.com/abstract=2191764

Victor Dragota (Contact Author)

Bucharest University of Economic Studies ( email )

Piața Romană 6
Bucharest, 010374
Romania

Andreea Maria Stoian

Bucharest Academy of Economic Studies ( email )

Piata Romana, No.6
Bucharest
Romania

Daniel Traian Pele

The Bucharest University of Economic Studies, Department of Statistics and Econometrics ( email )

Romania

Romanian Academy - Institute for Economic Forecasting ( email )

Calea 13 Septembrie nr. 13
Bucharest, 050711
Romania

Eugen Mitrica

Bucharest Academy of Economic Studies ( email )

Piata Romana, No.6
Bucharest
Romania

Malik Kamel Bensafta

Université François Rabelais de Tours - GERCIE ( email )

60 rue du Plat D'Etain
Tours, 37020
France

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