Preliminary tests on price formation and weak-form efficiency in Baltic stock exchanges
| Title: | Preliminary tests on price formation and weak-form efficiency in Baltic stock exchanges |
| Author: | Korhonen, Iikka |
| Organization: |
Bank of Finland
Suomen Pankki |
| Department / Unit: |
Institute for Economies in Transition (BOFIT)
Siirtymätalouksien tutkimuslaitos (BOFIT) |
| Series: | IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION |
| Series number: | 5/1998 |
| Year of publication: | 1998 |
| Publication date: | 27.11.1998 |
| Pages: | 25-31 |
| Keywords: | pörssit; Baltia; tehokkuus; Bofit-kokoelma |
| Abstract: | We test the informational efficiency of the three Baltic stock exchanges.It was found that the price indices used in testing are not even weak-form efficient, ie past returns can be used to predict future returns.It was also found that the time series of daily returns clearly exhibit autoregressive conditional heteroscedasticity. We also test Granger causality amongst the Baltic stock exchanges and from three stock exchanges outside the region.Outside the region only US market seems to affect prices in the Baltic stock exchanges.Inside the region Tallinn and Riga stock exchanges have clear effects on Lithuanian stock market, but Lithuanian market does not affect the other two. Keywords: Baltic countries, stock markets, efficiency |
| Note: | Uudelleenjulkaistu pdf-muodossa 2002 (Idäntalouksien yksikön sarja) Reprint in PDF format 2002 (Unit for Eastern European Economies series) |
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