Does the Efficient Market Hypothesis Hold?: Evidence from Six Transition Economies

Timotej Jagrič · Boris Podobnik A

45 citations0/0 files storedEastern European Economics

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Financial Markets and Investment Strategies Stock Market Forecasting Methods Complex Systems and Time Series Analysis

Abstract

In this paper, a wavelet analysis of long-range dependence (LRD) based on the Hurst exponent is presented. An estimator is used to perform an analysis of LRD in the capital markets of six transition economies. The results suggest that we can divide the stock markets into two groups: markets with strong LRD (the Czech Republic, Hungary, Russia, and Slovenia), and markets with no or only a weak form of LRD (Poland and Slovakia). Additionally, if the Hurst exponent is estimated on a sliding time window, the results show some additional properties, which we believe are representative for the markets in transition economies.

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References

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