The Evolution of Stock Markets in Transition Economies

Détails

ID Serval
serval:BIB_10DBF21F3EE4
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The Evolution of Stock Markets in Transition Economies
Périodique
Journal of Comparative Economics
Auteur(s)
Rockinger M., Urga G.
ISSN
0147-5967
Statut éditorial
Publié
Date de publication
09/2000
Peer-reviewed
Oui
Volume
28
Numéro
3
Pages
456-472
Langue
anglais
Résumé
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.
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Création de la notice
19/11/2007 10:30
Dernière modification de la notice
20/08/2019 13:38
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