Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

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.

Abstract

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
Full text:(VoR) Version of Record
First Live Deposit - 28 September 2017
Available under License - Creative Commons Attribution.
Download PDF
(364Kb)
Status:Peer-reviewed
Publisher Web site:http://article.sapub.org/10.5923.s.economics.201401.01.html
Publisher statement:This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.
Record Created:28 Sep 2017 15:43
Last Modified:28 Sep 2017 16:36

Social bookmarking: del.icio.usConnoteaBibSonomyCiteULikeFacebookTwitterExport: EndNote, Zotero | BibTex
Look up in GoogleScholar | Find in a UK Library