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2009•Romanian Journal of Economic ForecastingRequires access

THE DEVELOPMENT OF THE ROMANIAN CAPITAL MARKET: EVIDENCES ON INFORMATION EFFICIENCY

Victor Dragot, Andreea Stoian, Daniel Traian Pele, Eugen Mitric, Malik Kamel Bensafta

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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.

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What this paper is about

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.

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OpenAlex reports 27 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available 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.

Key concepts: Homoscedasticity, Random walk hypothesis, Efficient-market hypothesis, Economics, Heteroscedasticity, Econometrics, Random walk, Capital market

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