This study is designed to test semi-strong form efficiency in the Baltic stock markets and to identify investors' behaviour under changing economic situation. It involves description of semi-strong form stock market efficiency and discusses the results of other studies in the field. Analysis and summary of previous research results showed that there are a lot of studies testing semi-strong form efficiency in various stock markets, but only a few analysed Baltic stock markets, especially under changing economic situation. This research employed event study methodology-Patell's, BMP and cumulative abnormal return tests. The chosen research period of 2000-2016 was divided into two sub-periods based on