Damianova, E. (2014) 'Evidence of market inefficiency from the Bucharest Stock Exchange.', American journal of economics., 4 (2A). pp. 1-6.
This paper examines weak-form market efficiency in the Bucharest Stock Exchange (BSE) using dollar-converted returns from its main index BET. Employing a GARCH methodology, we find evidence that over ten years after its inauguration the BSE is still not weak-form efficient. Further evidence of market inefficiency is found in the consistent presence of a significant January effect. These findings are contrary to the conclusions in Harrison and Patton (2005), who conclude that the Romanian stock exchange was largely efficient by the year of 2000.
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|Date deposited:||28 September 2017|
|Date of first online publication:||2014|
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