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

Economic and Business Review, (2013), VOL. 15, No. 2

21 Pages Posted: 8 Mar 2016  

James Foye

University of Ljubljana

Dusan Mramor

University of Ljubljana - Faculty of Economics

Marko Pahor

University of Ljubljana - Faculty of Economics

Date Written: March 17, 2013

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.

Suggested Citation

Foye, James and Mramor, Dusan and Pahor, Marko, The Persistence of Pricing Inefficiencies in the Stock Markets of the Eastern European EU Nations (March 17, 2013). Economic and Business Review, (2013), VOL. 15, No. 2. Available at SSRN: https://ssrn.com/abstract=2742171

James Foye (Contact Author)

University of Ljubljana ( email )

Dunajska 104
Ljubljana, 1000
Slovenia

Dusan Mramor

University of Ljubljana - Faculty of Economics ( email )

Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
+386 1 589 2400 (Phone)
+386 1 589 2698 (Fax)

Marko Pahor

University of Ljubljana - Faculty of Economics ( email )

Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
+38615892629 (Phone)
+38615892698 (Fax)

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