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Evidence of Market Inefficiency from the Bucharest Stock Exchange

Damianova, E.

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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.

Citation

Damianova, E. (2014). Evidence of Market Inefficiency from the Bucharest Stock Exchange. American journal of economics, 4(2A), 1-6. https://doi.org/10.5923/s.economics.201401.01

Journal Article Type Article
Publication Date Jan 1, 2014
Deposit Date Sep 6, 2016
Publicly Available Date Sep 28, 2017
Journal American journal of economics
Print ISSN 2166-496X
Electronic ISSN 2166-496X
Publisher Scientific and Academic Publishing
Peer Reviewed Peer Reviewed
Volume 4
Issue 2A
Pages 1-6
DOI https://doi.org/10.5923/s.economics.201401.01
Public URL https://durham-repository.worktribe.com/output/1377029
Publisher URL http://article.sapub.org/10.5923.s.economics.201401.01.html

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