The Persistence of Pricing Inefficiencies in the Stock Markets of the Eastern European EU Nations

Abstract

This paper applies a range of metrics to test for the presence of weak form market efficiency in the Eastern European countries that joined the EU in 2004, we test both the years prior to and following accession. The results from our tests indicate that, despite the expectations of many previous studies, even after entering the EU the stock markets of these countries still do not conform to even the loosest form of market efficiency. We improve and extend previous studies by incorporating liquidity controls, applying a wider range of methodologies and by using individual stocks rather than indices.