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Testing The Efficient Market Hypothesis On The Romanian Capital Market

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  • Daniel Stefan ARMEANU
  • Sorin-Iulian CIOACA

Abstract

The Efficient Market Hypothesis (EMH) is one of the leading financial concepts that dominated the economic research over the last 50 years, being one of the pillars of the modern economic science. This theory, developed by Eugene Fama in the `70s, was a landmark in the development of theoretical concepts and models trying to explain the price evolution of financial assets (considering the common assumptions of the main developed theories) and also for the development of some branches in the financial industry. For example, the main impact was on the development and the mutual fund industry, regarding the increase and the diversification of the funds, of the assets under management and the relevance to the financial industry. As the financial crises that occurred on the financial markets had important consequences on the EMH and its usefulness in the financial field, definitions refining and new concepts were made and introduced, in order to explain the non-typical evolutions.In the case of Romania, we use the closing values for BET index (the most representative index on Bucharest Stock Exchange) for January, 01, 2002 – May, 15, 2014, in order to test the EMH, using unit root test, Jarque-Bera test, multiple variance ratio test and GARCH model. The results obtained show that the Romanian capital market is not weak-form efficient.

Suggested Citation

  • Daniel Stefan ARMEANU & Sorin-Iulian CIOACA, 2014. "Testing The Efficient Market Hypothesis On The Romanian Capital Market," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 8(1), pages 252-261, November.
    • Handle: RePEc:rom:mancon:v:8:y:2014:i:1:p:252-261
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    Cited by:

    1. Ani Stoitsova-Stoykova, 2017. "Relationship Between Public Expectations and Financial Market Dynamics in South- East Europe Capital Markets," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 237-250, June.
    2. Mariya Paskaleva & Ani Stoitsova-Stoykova, 2017. "Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 172-179.
    3. Mariya Paskaleva & Ani Stoykova, 2021. "The Influence of Uncertainty on Market Efficiency: Evidence from Selected European Financial Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 175-198.

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