Pregled bibliografske jedinice broj: 944115
Testing efficient market hypothesis in developing eastern european countries
Testing efficient market hypothesis in developing eastern european countries // Investment Management and Financial Innovations, 15 (2018), 2; 281-291 doi:10.21511/imfi.15(2).2018.25 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 944115 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Testing efficient market hypothesis in developing eastern european countries
Autori
Tokić, Saša ; Bolfek, Berislav ; Radman Peša, Anita
Izvornik
Investment Management and Financial Innovations (1810-4967) 15
(2018), 2;
281-291
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
EMH, ADF, Dickey-Fuller, serial correlation, runs test, unit root, variance ratio, January effect
Sažetak
This paper analyzes financial markets in four developing countries (Croatia, Serbia, Slovenia, Slovakia) using daily returns of their respective stock market indices from January 1, 2006 till December 31, 2016, timeframe which was rarely analyzed. Analysis was conducted by various statistical tests, more precisely serial correlation test, runs test, Augmented Dickey-Fuller test, unit root test, variance ratio test and test of January effect. Results suggest that all analyzed indices, except BelexLine (Serbia), confirm weak form of efficient market hypothesis, while the results on the index BelexLine are mixed and it can be concluded that it does not follow weak form of efficient market hypothesis. Given these results, it can be said that not only passive approach to portfolio management is more appropriate on all indices, except BelexLine, but also additional test and more complex models are necessary in order to confirm this conclusion.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
Citiraj ovu publikaciju:
Časopis indeksira:
- Scopus
