| Michael Rockinger, HEC, Paris Giovanni Urga, City University Business School |
| Evolution of Stock Markets in Central and Eastern Europe |
| Session: C-6-4 Sunday 13 August 2000 by Urga, Giovanni |
| In this study we investigate how the recently established stock markets of the Czech Republic, Poland, Hungary, and Russia evolved from an efficiency point of view, since 1994. Among the institutional features we believe that the trading systems, shareholder protection, the fee and tax structure are rather similar across markets and did not change substantially through time. Investigation of the Czech market revealed lots of concerns about disclosure practices: several decrees have been implemented in that country to remedy to an apparent lack of regulation. We further measure time varying predictability as an attempt to capture latent non measurable features. This model indicates that the Hungarian market satisfied since 1994 a criterion of weak efficiency. For the Czech and Polish market we notice convergence towards efficiency as measured by non-predictability. A constant level of autocorrelation that remains significant over the sample period characterizes the Russian market. |