Article metrics

  • citations in SCindeks: 0
  • citations in CrossRef:0
  • citations in Google Scholar:[=>]
  • visits in previous 30 days:7
  • full-text downloads in 30 days:6
article: 9 from 21  
Back back to result list
Megatrend revija
2016, vol. 13, iss. 1, pp. 265-278
article language: English
document type: Original Scientific Paper
published on: 30/12/2016
doi: 10.5937/MegRev1601265K
Creative Commons License 4.0
Testing weak form efficiency on the capital markets in Serbia
aRaiffeisen Bank, Belgrade
bJohn Naisbitt University, Faculty of Computer Sciences, Belgrade

e-mail: jovanak@hotmail.com, rankovs@naisbitt.edu.rs

Abstract

Weak-form efficient market hypothesis assumes that participants on the financial markets are not able to achieve above-average returns based on historical prices. In order to establish the presence of a weak-form market efficiency in the Serbian market, the analysis incorporates daily data of the two most prominent indices on the Belgrade Stock Exchange, BELEX 15 and BELEX LINE, since their inception until 31 December 2014. Results obtained by the analysis and testing indicate that the capital market in Serbia can not be considered sufficiently efficient, more precisely it indicates that postulates assumed by the weak-form market efficiency are not fully met. Taking into account that the capital market in Serbia is still underdeveloped, primarily because of the small volumes, turnover and types of securities which are traded on the market, as well as the fact that it is not sufficiently regulated and transparent, lack of investors is noticeable. Consequently, analysis presented in this paper indicates a weak sustainability of the efficient market hypothesis in Serbia.

Keywords

Weak-form efficient market hypothesis; financial markets; Belgrade Stock Exchange; BELEX 15; BELEX LINE; Semi-strong form of efficiency; Strong form market efficiency

References

Bekaert, G., Hodrick, R.J. (1992) Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. Journal of Finance, 47(2): 467-509
Belgrade Stock Exchange http://www.belex.rs
Chan, K.C., Gup, B.E., Pan, M. (1997) International Stock Market Efficiency and Integration: A Study of Eighteen Nations. Journal of Business Finance, 24(6): 803-813
Claessens, S., Dasgupta, S., Glen, J. (1995) Return Behavior in Emerging Stock Markets. World Bank Economic Review, 9(1): 131-151
Fama, E.F. (1970) Efficient capital markets: A review of theoretical and empirical work. Journal of Finance, 25, 2, 383-423
Fama, E.F., French, K.R. (1988) Permanent and Temporary Components of Stock Prices. Journal of Political Economy, 96(2): 246-273
Gilmore, C., Mcmanus, G. (2003) Random-walk and efficiency tests of Central European equity markets. Managerial Finance, 29(4), str. 42-61
Lo, A.W., Mackinlay, C.A. (1988) Stock market prices do not follow random walks: Evidence from a simple specification-test. Review of Financial Studies, 1(1); 41-66
Ljung, G. M., Box, G. E. P. (1978) On a measure of lack of fit in time series models. Biometrika, 65(2): 297-303
Malkiel, B.G. (1973) A Random Walk Down Wall Street. New York, NY: W.W. Norton & Co
Mateus, T. (2004) The risk and predictability of equity returns of the EU accession countries. Emerging Markets Review, 5(2): 241-266
Working, H. (1934) A Random-Difference Series for Use in the Analysis of Time Series. Journal of the American Statistical Association, 29(185): 11-24
Worthington, A.C., Higgs, H. (2005) Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behavior. in: Working Paper 3, School of Accounting & Finance, University of Wollongong