Todea, Alexandru; Pleşoianu, Anita - In: Theoretical and Applied Economics 5(558)(supplement) (2011) 5(558)(supplement), pp. 344-351
The hypothesis of martingale on Romanian capital market is tested based on the intraday data of the BET index for the time period November 2, 2009 through April 30, 2010. Investigation of this hypothesis is realized through two recent test, the Automatic Variance Ratio test of Kim (2009) and the...