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  • 标题:Testing efficient market hypothesis in developing eastern european countries
  • 本地全文:下载
  • 作者:Saša Tokić ; Berislav Bolfek ; Anita Radman Peša
  • 期刊名称:Investment Management & Financial Innovations
  • 印刷版ISSN:1810-4967
  • 电子版ISSN:1812-9358
  • 出版年度:2018
  • 卷号:15
  • 期号:2
  • 页码:281-291
  • DOI:10.21511/imfi.15(2).2018.25
  • 语种:English
  • 出版社:LLC “Consulting Publishing Company “Business Perspectives”
  • 摘要: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.
  • 关键词:EMH;ADF;Dickey-Fuller;serial correlation;runs test;unit root;variance ratio;January effect
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