A NONPARAMETRIC SERIAL CORRELATION TEST OF THE CENTRAL AND EASTERN EUROPEAN STOCK MARKETS Cover Image

A NONPARAMETRIC SERIAL CORRELATION TEST OF THE CENTRAL AND EASTERN EUROPEAN STOCK MARKETS
A NONPARAMETRIC SERIAL CORRELATION TEST OF THE CENTRAL AND EASTERN EUROPEAN STOCK MARKETS

Author(s): Mihály Ormos, Gábor Botár
Subject(s): Comparative politics, Evaluation research, Financial Markets
Published by: Masarykova univerzita
Keywords: Market efficiency; CEE countries; Runs test;
Summary/Abstract: We test weak form efficiency for the Central and Eastern European stock markets applying runs tests. We investigate the price changes of seven CEE markets (Austria, Hungary, Estonia, the Czech Republic, Poland, Romania, Slovakia) for the period 1991-2011. In order to make the results for these markets directly comparable with results for other developed markets, Germany, United Kingdom and the USA were also incorporated.

  • Page Range: 18-23
  • Page Count: 6
  • Publication Year: 2012
  • Language: English