EFFICIENT CAPITAL MARKETS: A REVIEW OF EMPIRICAL WORK ON ROMANIAN CAPITAL MARKET
Dragoş Ioan Mīnjină,
Academy of Economic Studies Bucharest, Romania.
The Romanian capital market has enjoyed positive developments over the recent years, reflected in the dynamics of market capitalization, turnover, turnover velocity and stock price indices of its two markets, the Bucharest Stock Exchange and the RASDAQ. However, the turnover velocity and market capitalization per GDP indicators of the Romanian capital market are unsatisfactory when compared to other capital markets from the same region.
Tests for return predictability from past returns (based on tests of serial correlation, unit root tests, normal distribution analysis and trading rules tests) and tests for seasonals in returns have been mainly used to study the Romanian capital market efficiency. The evidence regarding market efficiency on the Romanian capital market is mixed. However, an improvement at the level of the market efficiency can be noticed in the recent years, which can be associated with the aforementioned positive developments.
Keywords:Romanian capital market, efficient market hypothesis, random walk, tests for return predictability
JEL Codes: G 14, P 34