Autori: Victor DRAGOTA; Andreea STOIAN; Daniel Traian PELE; Eugen MITRICA

Editorial: Institute for Economic Forecasting, Institute for Economic Forecasting, Romanian Journal for Economic Forecasting, 2/(6), p.147-160, 2009.

Rezumat:

The Romanian capital market has considerably grown in the last decade. This study
reveals new evidences regarding informational efficiency of this market. Applying
Multiple Variance Ratio test to random walk hypothesis, assuming, on the one hand
homoskedasticity, and on the other hand heteroskedasticity, it was found that for most
of the stock prices the random walk hypothesis cannot be rejected. Consequently, the
returns are not predictable by using the series of historical returns. Based on these
results, there are not enough reasons to reject the Efficient Market Hypothesis in its
weak form.

Cuvinte cheie: Romanian, Journal, for, Economic, Forecasting