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:: دوره 2، شماره 2 - ( 3-1391 ) ::
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Investigation of the market efficiency of emerging stock markets in the East-European region
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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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نوع مطالعه: پژوهشي | موضوع مقاله: تخصصي
دریافت: 1391/3/23 | انتشار: 1391/3/26
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Ivanov I, Lomev B, Bogdanova B. Investigation of the market efficiency of emerging stock markets in the East-European region. International Journal of Applied Operational Research. 2012; 2 (2)
URL: http://ijorlu.liau.ac.ir/article-1-144-fa.html

Investigation of the market efficiency of emerging stock markets in the East-European region. ژورنال بین المللی پژوهش عملیاتی. 1391; 2 (2)

URL: http://ijorlu.liau.ac.ir/article-1-144-fa.html



دوره 2، شماره 2 - ( 3-1391 ) برگشت به فهرست نسخه ها
ژورنال بین المللی پژوهش عملیاتی International Journal of Applied Operational Research - An Open Access Journal
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