INVESTIGATION OF WEAK-FORM EFFICIENCY IN THE CEE REGION APPLYING VARIANCE RATIO TEST Cover Image

INVESTIGATION OF WEAK-FORM EFFICIENCY IN THE CEE REGION APPLYING VARIANCE RATIO TEST
INVESTIGATION OF WEAK-FORM EFFICIENCY IN THE CEE REGION APPLYING VARIANCE RATIO TEST

Author(s): Mihály Ormos, Gábor Botár
Subject(s): Economic history, Evaluation research, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Masarykova univerzita
Keywords: Market efficiency; CEE countries; Variance ratio test;
Summary/Abstract: We test weak form efficiency for the Central and Eastern European stock markets applying variance ratio test. 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. Our results present contrarian pricing behavior in the investigated countries while instead of the mean reverting (negative autocorrelation) pricing process experienced in the US or in the UK we measure positive autocorrelation especially in the early years of the investigated stock exchanges.

  • Page Range: 160-165
  • Page Count: 6
  • Publication Year: 2012
  • Language: English