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- W2201278324 abstract "This paper attempts to test the efficiency of the Romanian Capital Market by assessing some basic statistical properties of prices for the ten most liquid stocks listed on the Bucharest Stock Exchange. More specifically, by testing if stock price series exhibit a random walk-like behaviour. For robustness of the results, two unit root tests—the Augmented Dickey-Fuller and the Kwiatkowski-Phillips-Schmidt-Shin—are used to measure stationarity for both prices and returns, and determine if price dynamics is determined by an order one integrated process (a proxy for the random walk). Further Lo and MacKinley‘s Variance Ratio Test is applied to study if the variance of returns is a linear time-dependent function (a well-known property of a random variable). The analysis is done for a period between 15 October 1997, or the listing date on the stock exchange, respectively, and 10 April 2013, for both daily and weekly observations. Furthermore, to take into account the distortive effects of the financial turmoil from 2007-2009 on market efficiency, a separate analysis has been conducted for two sub-periods, pre- and post-recession, respectively." @default.
- W2201278324 created "2016-06-24" @default.
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- W2201278324 date "2015-04-01" @default.
- W2201278324 modified "2023-09-27" @default.
- W2201278324 title "TESTING THE WEAK-FORM EFFICIENCY OF THE ROMANIAN CAPITAL MARKET BY ASSESSING THE RANDOM WALK-LIKE BEHAVIOUR OF STOCK PRICES" @default.
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