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An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange

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  • Felicia Ramona Birau

    (University of Craiova Faculty of Economics and Business Administration)

Abstract

This paper aims to study a controversial issue such as an apparent antagonistic contradiction between the concept of market efficiency and the emerging capital markets. It is very well known the fact that most of the efficient market research have focused on developed capital markets and it is considered in general that emerging capital markets are not efficient in semistrong form or strong form. Emerging capital markets are less efficient than the developed market given their structural and institutional disfunctions. Also, they are volatile and risky but nevertheless it is expected to generate strong investment returns.The main purpose of this study is to test the existence of weak-form efficiency of an emerging capital market, such as Bucharest Stock Exchange (BSE). The analysis is based on the daily price of BSE indexes : BET, BET-C and BET-FI during the period of January 2007 to July 2011.

Suggested Citation

  • Felicia Ramona Birau, 2011. "An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 3(39), pages 194-205.
    • Handle: RePEc:aio:aucsse:v:3:y:2011:i:39:p:194-205
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    References listed on IDEAS

    as
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    6. Houthakker, Hendrik S. & Williamson, Peter J., 1996. "The Economics of Financial Markets," OUP Catalogue, Oxford University Press, number 9780195044072.
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    11. Mr. Ashoka Mody, 2004. "What is An Emerging Market?," IMF Working Papers 2004/177, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    efficient market hypothesis; emerging capital markets; financial econometrics; indexes; models;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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