TESTING INFORMATIONAL EFFICIENCY: THE CASE OF U.E. AND BRIC EMERGENT MARKETS

Empirical finance has brought together a considerable number of studies in determining the market efficiency in terms of information in the case of an emerging financial market. Conflicting results have been generated by these researches in efficient market hypothesis (EMH), so efficiency tests in the emerging financial markets are rarely definitive in reaching a conclusion about the existence of informational efficiency. This paper tests weak-form market efficiency of eight emerging markets: four U.E emerging markets: Romania, Hungary, Czech Republic, Slovakia, Estonia and BRIC emerging markets: Brazil, Russia, India and China. The random walk hypothesis of stock exchange indices is tested using statistical tests. To test for the existence of the normality hypothesis of distributed instantaneous yields (logarithmic) of stock index are employed Jarque-Bera and QQ-plot tests. The stationary tests for instantaneous yields (logarithmic) of stock exchange indexed that are used in this article are unit root tests, run tests and variance ratio test. Because the analysis determined empirically the presence of linear dependences for the returns series, it can be concluded that most of these emerging equity markets are not weak-form efficient.