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  • Weak-form market efficiency and calendar anomalies for Eastern Europe Equity Markets

    Author(s)
    Guidi, F
    Gupta, R
    Maheshwari, S
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2011
    Metadata
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    Abstract
    In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that stock markets of the CEE do not follow a random walk process. This is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more ...
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    In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that stock markets of the CEE do not follow a random walk process. This is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalised Autoregressive Conditional Heteroscedasticity in Mean (GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most markets except for some. Overall results indicate that some of these markets are not weak and an efficient and informed investor can make abnormal profits by studying the past prices of the assets in these markets.
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    Journal Title
    Journal of Emerging Market Finance
    Volume
    10
    Issue
    3
    DOI
    https://doi.org/10.1177/097265271101000304
    Subject
    Banking, finance and investment
    Investment and risk management
    Publication URI
    http://hdl.handle.net/10072/43963
    Collection
    • Journal articles

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