Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets

This study investigates the effects of the Global crisis on the relative efficiency often Central and Eastern European emerging stock markets, using the Generalized Spectraltest of Escanciano and Velasco (2006) in a rolling window approach. This test is robust tothe distributional assumptions, to the presence of time-varying volatility, being able to detecta wide range of linear and non-linear dependencies in conditional mean. The results suggestthat the degree of markets inefficiency varies through time, providing empirical supportfor the Adaptive Market Hypothesis rather than for a clear trend towards higher efficiencyas postulated by the classical Efficient Market Hypothesis. Surprisingly, during the crisisperiod there has been registered an improvement of the degree of efficiency in the case ofseven markets out of ten.