Market efficiency of the Post Communist East European stock markets

Dragotă, Victor; Ţilică, Elena Valentina

doi:10.1007/s10100-013-0315-6

Cited by 55 publications

(37 citation statements)

References 44 publications

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“…The way the pandemic affects financial markets is also very relevant, and these markets have often been vulnerable in terms of their informational efficiency (Dragotă & Ţilică, 2014). Financial markets' response to the global spread of Covid-19 has been prompt (Zhang et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

Aslam

Nogueiro

Brasil

et al. 2020

Post-Communist Economies

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This study analyses the intraday multifractal behaviour of three Central Eastern European stock markets by deploying five-minute index data ranging from December 2019 to May 2020. With the analysis of multifractality, we can evaluate the degree of efficiency of the stock markets analysed. We divided the whole sample into three different periods of about two months each. Data for the Czech Republic, Hungary and Poland are used and their behaviour is compared with Germany (as a benchmark of the European Union) and Italy and Spain (as the most affected countries by Covid-19 in Europe). For the analysis, we employ multifractal detrended fluctuation analysis after using seasonal-trend decompositions using the loess method. The results confirm that the degree of multifractality varies in the different periods, with increasing multifractality in February-March and a recovery in April-May.

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Section: Introductionmentioning

confidence: 99%

The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

Aslam

Nogueiro

Brasil

et al. 2020

Post-Communist Economies

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“…Stock markets of the eastern European countries are characterized by low efficiency and a small number of listed companies. The study by Dragotă and Ţilică (2014) indicate weak efficiency level imposed on the stock markets of the eastern European countries. Guidi et al (2011) confirm that stock markets of the Central Eastern European countries do not follow a random walk.…”

Section: Introductionmentioning

confidence: 91%

Modeling the Equilibrium Price of the Companies Listed in the Prague Stock Exchange

Aliu¹,

Knápková²,

Tran³

et al. 2020

Acta Univ. Agric. Silvic. Mendelianae Brun.

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Valuation provides proper evidence on the financial situation of the firms. Incorrect valuation delivers wrong signals for the market participants and stands on the concepts of markets with information asymmetry. The study measures the estimated intrinsic value of the selected companies listed in the Prague Stock Exchange. Moreover, the results of the work observe influencing factors that deviate stock prices of the companies listed in the Prague Stock Exchange (PSE) from their estimated intrinsic value. Valuation techniques and Monte Carlo Simulation were employed to detain the estimated intrinsic of the selected companies from the Prague Stock Exchange. The estimated results indicate that Czech listed companies deviate from the intrinsic value in the range of 58% while international companies in the range of 301%. However, the average deviation within market prices and intrinsic value of the companies listed in the PSE was 179%.

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“…In order to confirm the lack of market efficiency authors used Dickey Fuller, Phillips Peron (PP) and Run Test. They believe the lack of market efficiency resulted from the non-symmetric information, high transaction costs, few highly liquid stocks and the lack of strong institutional investors 6 .…”

Section: Literature Reviewmentioning

confidence: 99%

Efficient Market Hypothesis: Case of the Croatian Capital Market

Novák

2019

iele

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This study employs a quantile auto-regression approach in order to examine the market efficiency of the Croatian stock market using daily CROBEX returns in the period of 2000-2019. Auto-regression model AR (1) confirmed the significant influence of the previous day return, nevertheless model suffered from heteroscedasticity. In order to avoid the OLS restrictions, this paper applies the quantile unit root approach. According to the results of the quantile unit root weak form of the efficient market, the hypothesis was rejected. Endogenous shocks were found to be persistent and asymmetric. Model results stayed robust regardless of the structural break. This predictable behavior of CROBEX may enable investors to obtain abnormal profits.

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Market efficiency of the Post Communist East European stock markets

Cited by 55 publications

References 44 publications

The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

The footprints of COVID-19 on Central Eastern European stock markets: an intraday analysis

Modeling the Equilibrium Price of the Companies Listed in the Prague Stock Exchange

Efficient Market Hypothesis: Case of the Croatian Capital Market

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