engleski

Market Efficiency of Croatian Stock Market

Capital market is considered to be efficient if prices fully reflect all available information. In this paper weak-form efficiency of Croatian capital market is tested. Tests have been implemented on fiveyear sample of CROBEX index returns and 6 stock returns. Econometric tests of autoregression, unit root test, Wald- Wolfowitz run test and examination of the possibility to model the returns with autoregressive models, have shown that the hypothesis on weak-form efficiency of Croatian capital market cannot be rejected, although there is not enough evidence in favor, too. Test results for chosen stocks follow the results for market index to a large degree. The final conclusion is that the Croatian capital market is weak-form efficient enough to prevent excess returns.

Zagreb stock exchange, market efficient, weak-form, CROBEX, random walk

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