The degree of return predictability is measured for 40 Bulgarian stocks, two Bulgarian stock market indices and 13 other South East European stock market indices using three finite-sample variance ratio tests. Daily data corrected for infrequent trading are used in a fixed-length rolling window...

The martingale hypothesis is tested for two Bulgarian stock price indices and eight stock prices using finite-sample variance ratio tests in a rolling window. The data cover the period beginning in October 2000 and ending in August 2012 and are corrected to remove the effects of infrequent...

The weak form of the efficient markets hypothesis is tested for eight African stock markets using three finite-sample variance ratio tests. A rolling window captures short-horizon predictability, tracks changes in predictability and is used to rank markets by relative predictability. These stock...