Investigation of the market efficiency of emerging stock markets in the East-European region

The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibilities, based on historical information. If the so enlisted characteristics are present, this would mean that the weak form of the Efficient Market Hypothesis (EMH) is rejected. The results obtained indicate definitely that we have strong evidence for deviation from market efficiency at East- European Financial Markets. Keywords: Financial Markets Efficiency, Long-Range Dependence, Hurst Exponent.