Liquidity And Informational Inefficiency. The Case Of Romania
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Sharma, Susan Sunila & Narayan, Paresh Kumar, 2011. "The January and turn-of-the-month effect on firm returns and return volatility," Working Papers fe_2011_01, Deakin University, Department of Economics.
- Panait, Iulian & Lupu, Iulia, 2009.
"The Behavior Of The Bucharest Stock Exchange During The Current Financial Markets Crisis And Proposed Measures For Its Sustainable Development,"
Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 1(1), pages 73-80.
- Panait, Iulian & Lupu, Iulia, 2009. "The behavior of the Bucharest Stock Exchange during the current financial markets crisis and proposed measures for its sustainable development," Papers 2009/101, Osterreichish-Rumanischer Akademischer Verein.
- Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
- Timmermann, Allan & Granger, Clive W. J., 2004.
"Efficient market hypothesis and forecasting,"
International Journal of Forecasting, Elsevier, vol. 20(1), pages 15-27.
- Timmermann, Allan & Granger, Clive, 2002. "Efficient Market Hypothesis and Forecasting," CEPR Discussion Papers 3593, C.E.P.R. Discussion Papers.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Dan Gabriel ANGHEL, 2017. "Intraday Market Efficiency for a Typical Central and Eastern European Stock Market: The Case of Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-109, September.
- Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013.
"Financial Time Series Forecasting by Developing a Hybrid Intelligent System,"
MPRA Paper
45615, University Library of Munich, Germany.
- Abounoori, Abbas Ali & Naderi, Esmaeil & Gandali Alikhani, Nadiya & Amiri, Ashkan, 2013. "Financial Time Series Forecasting by Developing a Hybrid Intelligent System," MPRA Paper 45860, University Library of Munich, Germany.
- Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
- Majid Delavari & Nadiya Gandali Alikhani & Esmaeil Naderi, 2013.
"Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?,"
International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 466-475.
- Delavari, Majid & Gandali Alikhani, Nadiya & Naderi, Esmaeil, 2012. "Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?," MPRA Paper 45977, University Library of Munich, Germany.
- Kristoufek, Ladislav, 2019.
"Are the crude oil markets really becoming more efficient over time? Some new evidence,"
Energy Economics, Elsevier, vol. 82(C), pages 253-263.
- Ladislav Kristoufek, 2018. "Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence," Working Papers IES 2018/07, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2018.
- repec:idn:journl:v:1:y:2019:i:sp1:p:1-26 is not listed on IDEAS
- Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
- Sangram Keshari Jena & Aviral Kumar Tiwari & Buhari Doğan & Shawkat Hammoudeh, 2022. "Are the top six cryptocurrencies efficient? Evidence from time‐varying long memory," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3730-3740, July.
- Eva DEZSI & Ioan Alin NISTOR, 2016. "Can Deep Machine Learning Outsmart The Market? A Comparison Between Econometric Modelling And Long- Short Term Memory," Romanian Economic Business Review, Romanian-American University, vol. 11(4.1), pages 54-73, december.
- Asal, Maher, 2016. "Testing for the presence of skill in Swedish mutual fund performance: Evidence from a bootstrap analysis," Journal of Economics and Business, Elsevier, vol. 88(C), pages 22-35.
- Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
- Jia Wang & Tong Sun & Benyuan Liu & Yu Cao & Degang Wang, 2021. "Financial Markets Prediction with Deep Learning," Papers 2104.05413, arXiv.org.
- Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
- Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 315-332.
- Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming, 2012.
"Is the Chinese stock market really inefficient?,"
China Economic Review, Elsevier, vol. 23(1), pages 122-137.
- Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing, 2011. "Is the Chinese Stock Market Really Efficient," MPRA Paper 35219, University Library of Munich, Germany.
- Bernard Njindan Iyke, 2019. "A Test Of The Efficiency Of The Foreign Exchange Market In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 439-464, January.
- Wally Tzara, 2018. "The Evolution of Security Prices Is Not Stochastic but Governed by a Physicomathematical Law," Papers 1807.10114, arXiv.org, revised Jul 2019.
- İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
- Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
- Chun, Young H. & Plante, Robert D. & Schneider, Helmut, 2002. "Buying and selling an asset over the finite time horizon: A non-parametric approach," European Journal of Operational Research, Elsevier, vol. 136(1), pages 106-120, January.
- Dominique Guégan & Marius Cristian Frunza, 2018. "Is the Bitcoin Rush Over?," Documents de travail du Centre d'Economie de la Sorbonne 18014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
Keywords
efficient market; capital market; index; return;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vls:finstu:v:19:y:2015:i:1:p:80-92. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Daniel Mateescu (email available below). General contact details of provider: https://edirc.repec.org/data/cfiarro.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.