Evidence of Market Inefficiency from the Bucharest Stock Exchange

Damianova, E.

Abstract

This paper examines weak-form market efficiency in the Bucharest Stock Exchange (BSE) using dollar-converted returns from its main index BET. Employing a GARCH methodology, we find evidence that over ten years after its inauguration the BSE is still not weak-form efficient. Further evidence of market inefficiency is found in the consistent presence of a significant January effect. These findings are contrary to the conclusions in Harrison and Patton (2005), who conclude that the Romanian stock exchange was largely efficient by the year of 2000.

Citation

Damianova, E. (2014). Evidence of Market Inefficiency from the Bucharest Stock Exchange. American journal of economics, 4(2A), 1-6. https://doi.org/10.5923/s.economics.201401.01

• Journal Article Type: Article
• Publication Date: Jan 1, 2014
• Deposit Date: Sep 6, 2016
• Publicly Available Date: Sep 28, 2017
• Journal: American journal of economics
• Print ISSN: 2166-496X
• Electronic ISSN: 2166-4951
• Publisher: Scientific and Academic Publishing
• Peer Reviewed: Peer Reviewed
• Volume: 4
• Issue: 2A
• Pages: 1-6
• DOI: https://doi.org/10.5923/s.economics.201401.01
• Public URL: https://durham-repository.worktribe.com/output/1377029
• Publisher URL: http://article.sapub.org/10.5923.s.economics.201401.01.html