The Evolution of Stock Markets in Transition Economies

Details

Serval ID
serval:BIB_10DBF21F3EE4
Type
Article: article from journal or magazin.
Collection
Publications
Title
The Evolution of Stock Markets in Transition Economies
Journal
Journal of Comparative Economics
Author(s)
Rockinger M., Urga G.
ISSN
0147-5967
Publication state
Published
Issued date
09/2000
Peer-reviewed
Oui
Volume
28
Number
3
Pages
456-472
Language
english
Abstract
A significant autocorrelation of returns, also called predictability, may indicate market inefficiency. To test whether market efficiency has improved in transition economies, we develop a methodology based on a time-varying parameter model. We apply this methodology to a set of recently established stock markets over the period April 1994 through June 1999. We find that the Hungarian market always satisfies weak efficiency. For the Czech and Polish markets, we document convergence reward efficiency. On the other hand, a constantly significant level of predictability characterizes the Russian market. For this market, we cannot draw any conclusions concerning market efficiency.
Web of science
Create date
19/11/2007 9:30
Last modification date
20/08/2019 12:38
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