In this paper we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999-2009. To test weak form efficiency in the markets this study uses, autocorrelation analysis, runs test, and variance ratio test. We find that stock markets of the Central and Eastern Europe do not follow a random walk process. This is an important finding for the CEE markets as an informed investor can identify mispriced assets in the markets by studying the past prices in these markets. We also test the presence of daily anomalies for the same group of stock markets using a basic model and a more advanced Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model. Results indicate that day-of-the-week effect is not evident in most markets except for some. Overall results indicate that some of these markets are not weak form efficient and an informed investor can make abnormal profits by studying the past prices of the assets in these markets.Keywords: Emerging stock markets, day-of-the-week effect , market efficiency, variance ratio test, GARCH-M.JEL Classification: G12, G14, G22.2

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We examined volatility spillover effects from five prominent global stock markets to India’s stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23 March 2020, as per the breakpoint unit root test, to examine and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period’s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan, and Germany) to the Indian stock market, and that spillover continues in the post-COVID period. There is a positive significant return and volatility spillover from the US market to the Indian stock market in the post-COVID-19 period. The results of our study will be useful for retail investors and portfolio managers in understanding the portfolio allocation methods in case of volatility spillover arising due to the crisis caused by the COVID-19 outbreak.

<p class="MsoBlockText" style="margin: 0in 0.6in 0pt 0.5in; mso-pagination: none;"><span style="font-style: normal; font-size: 10pt; mso-bidi-font-style: italic;"><span style="font-family: Times New Roman;">This study examines the relationship between insider trading and market liquidity (spread and depth) of NASDAQ-100 stocks.<span style="mso-spacerun: yes;">&nbsp; </span>Tests on an intraday sample of sell trades show no evidence of cross-sectional association between the width of the spread and insider trading, but detect some widening of the spread after the fact.<span style="mso-spacerun: yes;">&nbsp; </span>Overall, our results provide mixed evidence on the ability of NASDAQ dealers to unravel informed order flow and adjust spreads accordingly. <span style="mso-spacerun: yes;">&nbsp;</span>Their short-term behavior suggests an inability to detect insider trading and widen spreads, but their behavior over time suggests that dealers may attempt to recover what they apparently lose at a given point and time. </span></span></p>

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