Market efficiency of the post communist East European stock markets

DOI10.1007/S10100-013-0315-6MaRDI QIDQ301211zbMATH OpenOpenAlexFDO

Authors Victor Dragotă, Elena Valentina Ţilică

Publication date 30 June 2016

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10100-013-0315-6

zbMATH Keywords

capital marketsefficient markets hypothesis (EMH)emerging marketsfinancial crisispost communist Eastern European countriesweak form EMH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Emergent capital markets' efficiency: the case of Romania.
• Examining the first stages of market performance: A test for evolving market efficiency
• Generalized spectral tests for the martingale difference hypothesis
• Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules
• On the origins of OR and its institutions
• The informational content of insider trading disclosures: empirical results for the Polish stock market

Cited in

(8)

• Emergent capital markets' efficiency: the case of Romania.
• Multi-feature evaluation of financial contagion
• Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange
• The state of financial modelling in 2012, as shaped by the GFC
• Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton
• Challenges for ATM management in times of market variability caused by the COVID-19 pandemic crisi
• The impact of U.S. macroeconomic news on intraday stock prices of individual companies on the Warsaw stock exchange
• Dynamic efficiency in the east European emerging markets

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