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Investigation of the market efficiency of emerging stock markets in the East-European region
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I. Ivanov   , B. Lomev , B. Bogdanova |
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Abstract: (10827 Views) |
| The presence of stock market efficiency is a distinctive characteristic of the effectively
functioning market economy. Investigation of the market efficiency of seven emerging East-European
stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100,
PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and
forecasting possibilities, based on historical information. If the so enlisted characteristics are present,
this would mean that the weak form of the Efficient Market Hypothesis (EMH) is rejected. The results
obtained indicate definitely that we have strong evidence for deviation from market efficiency at East-
European Financial Markets.
Keywords: Financial Markets Efficiency, Long-Range Dependence, Hurst Exponent. |
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Full-Text [PDF 572 kb]
(6318 Downloads)
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Type of Study: Research |
Subject:
Special
Received: 2012/06/12 | Published: 2012/06/15
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