Preliminary tests on price formation and weak-form efficiency in Baltic stock exchanges

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dc.contributor Bank of Finland
dc.contributor Suomen Pankki
dc.contributor.author Korhonen, Iikka
dc.date.accessioned 2014-10-17T11:26:57Z
dc.date.available 2014-10-17T11:26:57Z
dc.date.issued 1998
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/12859
dc.description Uudelleenjulkaistu pdf-muodossa 2002 (Idäntalouksien yksikön sarja)
dc.description Reprint in PDF format 2002 (Unit for Eastern European Economies series)
dc.description.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
dc.format.extent 25-31
dc.language.iso eng
dc.relation.ispartofseries IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION
dc.subject pörssit
dc.subject Baltia
dc.subject tehokkuus
dc.subject SP
dc.subject Bofit-kokoelma
dc.title Preliminary tests on price formation and weak-form efficiency in Baltic stock exchanges
dc.type Artikkeli
dc.identifier.urn URN:NBN:fi:bof-201408113123
dc.series.name IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION
dc.series.year 1998
dc.series.number 5/1998
dc.series.sortingnumber 5
dc.date.publication 27.11.1998
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)
dc.contributor.orgunit Siirtymätalouksien tutkimuslaitos (BOFIT)

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