Abstract:

The present paper analyzes a topical issue, intensively debated in the studies on the capital market, and this is the testing of the hypothesis of the market informational efficiency. The analysis focuses on the Romanian capital market and uses the daily quotations for the market index BET for the period January 2008 - December 2014. Among the existing ways to test the market efficiency, the focus is on verifying whether the performance of the index follows a Brownian motion (a random walk process). The aim is that, through this study, the results obtained would contribute to the existing literature. At the same time, investors can use this information by incorporating it into their investment strategies. Two methods are used in this analysis and both target to establish market efficiency dynamically using a moving window approach. The first method uses the equation of a random walk process, while the second estimates the Hurst exponent. Both converge to the same result, namely that within the same period analyzed, market efficiency can change, with the market not being efficient or inefficient from the beginning to the end, as it can fluctuate from one state to another. A cause of this shift are the shocks that appear on the market.