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Evidence of market inefficiency from the Bucharest Stock Exchange.

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.

Item Type:Article
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Publisher statement:This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.
Date accepted:No date available
Date deposited:28 September 2017
Date of first online publication:2014
Date first made open access:No date available

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