In this paper we demonstrate that the measurement of stock market efficiency is an important activity in establishing whether eastern European countries satisfy the Copenhagen Criteria for EU membership. Specifically, we argue that developing an efficient stock market should be an important...

This article tests for informational efficiency of the Korean stock market with respect to the money supply. By applying the bootstrap simulation techniques, the results show that the stock market is informationally efficient regarding monetary policy performed during the period 1978-2000. The...

In present study, I make an effort to shed light on the actual mechanism of autocorrelations in individual stocks' opening returns. I analyze intraday price data on thirty stocks currently making up the Dow Jones Industrial Index. Employing the sample average and the sample median of opening...

Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed in local and US dollar currencies) for five stock markets in the Middle East and North Africa during 1995-2009. Results indicated that the big and liquid stock markets of Israel and Turkey are...

This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...

This paper assesses the evolving efficiency status of Southeast Asian (SEA) 'tiger cub' stock markets. The weak-form efficient market hypothesis (EMH) is examined using daily price index data and variance ratio tests from 2000 to 2012. We also explore two diverse sub-periods of economic activity...

In present study, I analyze the actual mechanism of autocorrelations in individual stocks' opening returns. For Dow Jones Industrial Index constituents, I document that if the previous day's market and individual stock's opening returns are taken together to explain the stock's opening returns,...

The hypothesis that a stock market price index follows a random walk is tested for the regional stock market of the West African Economic and Monetary Union called the Bourse R¨¦gionale des Valeurs Mobili¨¨res (BRVM) using the Lo and MacKinlay (1988), the Chow and Denning (1993), and the...

En los últimos años, ante los hallazgos de estructuras deterministas no-lineales en series financieras, la econometría financiera aplicada ha adoptado toda una serie de sofisticadas y potentes técnicas no-lineales de predicción. En este trabajo empleamos el método de ocurrencias análogas,...

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are...