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Investigation of the market efficiency of emerging stock markets in the East-European region
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نویسنده
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Ivanov I. ,Lomev B. ,Bogdanova B.
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منبع
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international journal of applied operational research - 2012 - دوره : 2 - شماره : 2 - صفحه:13 -24
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چکیده
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The presence of stock market efficiency is a distinctive characteristic of the effectivelyfunctioning market economy. investigation of the market efficiency of seven emerging east-europeanstock exchanges is carried out as their major stock indices (belex15, bet, crobex, ise100,pfts, rtsi, sofix) are studied in respect of long-range dependence (lrd), persistency, andforecasting possibilities, based on historical information. if the so enlisted characteristics are present,this would mean that the weak form of the efficient market hypothesis (emh) is rejected. the resultsobtained indicate definitely that we have strong evidence for deviation from market efficiency at east-european financial markets.
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کلیدواژه
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Financial Markets Efficiency ,Long-Range Dependence ,Hurst Exponent.
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آدرس
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Sofia University, Faculty of Economics and Business Administration, Department of Statistics and Econometrics, Bulgaria, Sofia University, Faculty of Economics and Business Administration, Department of Statistics and Econometrics, Bulgaria, Sofia University, Faculty of Economics and Business Administration, Department of Statistics and Econometrics, Bulgaria
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پست الکترونیکی
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i_ivanov@feb.uni-sofia.bg
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Authors
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