In this paper we aim to test the efficient market hypothesis (EMH), the case of the Romanian capital market. According to this purpose, our research aims to test the hypothesis of the random walk of the BET and BET-C stock indicators of the Bucharest Stock Exchange and to this end we apply...

No abstract.

Indian steel futures markets are in relatively nascent stages as com-pared to the older and more developed markets of the west. The paper presents a study of the production and consumption trends of steel in India and the efficiency of the two major steel exchanges in India. The study revealed...

The deepening of financial integration in the EU has accelerated in the last decade. The expansion of trade relations, intensification of investment flows and capital market development evidence strengthening of financial integration processes. Particularly, the large number of foreign companies...

In this study we tested the existence of long memory in the the return series for major Central Eastern European and Balkans stock markets, using the following statistical methods: Hurst Exponent, GPH method, Andrews and Guggenberger method, Reisen method, Willinger, Taqqu and Teverovsky method...

Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...

This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...

This paper finds that about one-quarter of analyst forecast dispersion and one-half of the dispersion-return relationship between 1985 and 2012 are explained by analyst overconfidence. In particular, the firm’s analyst overconfidence mean and analyst overconfidence dispersion are the two most...

We present a new, regression-based methodology for decomposing the risk-adjusted performance of private investors, firms, and mutual funds. Our technique allows for the inclusion of multivariate and continuous subject characteristics in the analysis and it ensures that the statistical results...

In this paper, we construct the three-factor model introduced by Chen et al. (2010) for a European sample covering 10 countries from the European Monetary Union and the period from 1990 to 2006. Two key findings result. First, we show that the properties of the European factors are comparable to...