Financial Market Tests Of Informational Efficiency: The Case Of Emergent Markets

Efficient Market Hypothesis (EMH) has attracted a considerable number of studies in empirical finance, particularly in determining the market efficiency of an emerging financial market. These efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the presence of market efficiency in terms of information. This paper tests the weak-form market informational efficiency in Romania. We test the random walk hypothesis of stock exchange index BET of Bucharest Stock Exchange using statistical tests. To test for the existence of the normality hypothesis of distributed instantaneous yields (logarithmic) of stock index we employ Jarque-Bera and QQ-plot tests. The stationary tests for instantaneous yields (logarithmic) of BET that we use are unit root tests, run tests and variance ratio test. The used tests determined empirically the presence of linear dependences for the returns series.