Theoretical and Applied Economics
No. 1 / 2006 (496)
Testing the Informational Efficiency on the Romanian Financial Market
Marilen Pirtea
Aurora Murgea
Universitatea de Vest Timisoara
Abstract. The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a "weak" sense). The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are: 1) an empirical test for the efficient market hypothesis in the Romanian financial market case; 2) a critical distinction between the concept of "risk" and the concept of "incertitude"; 3) the use of the individual yield/risk ratio versus the market one as a selection variable; 4) the renouncement at the use in the selection procedure of an "non-risky" asset; 5) an example of the proposed selection procedure. The output of this approach could be resumed by the thesis that, even in a situation when the financial market is affected by severe disfunctions, there is a possibility to build an "optimal" portfolio based on a yield-risk arbitrage inside an efficiency frontier and to obtain a "good" schema of an financial placement, in spite of the limited possibilities for a efficient portfolio management.
Contents
Limits of Inflation Targeting Strategy
Measuring the Company Performance
Higher Economic Education System. A Postindustrial Approach
Short-run and Current Analysis Model in Statistics
The Structural Convergence of the Romanian Economy. Comparative Analysis
„Uthopia – The Castle with Dreams and Hopes”
Testing the Informational Efficiency on the Romanian Financial Market
The Knowledge Economy – New Economy?
The Evolution of the Romanian Capital Market – Limits and Performances
Human Resources and the Competitive Organizational Management
Re-spiritualization in the Changing Process by Creativity, Responsability, Hope
A New Approach in Rentability and Capital Risk Management
A New Agenda for Economic Science
Asymmetrical Information and Uncertainty on the Capital Market
Economic Growth Models Transition
Challenges in Global Economy
Public Economy versus Planned Economy. Current Approaches and Problems
The Deadlock of Sustainable Development
The Dichotomy Real – Nominal in Romanian Economy Evolution
The Rational Relevance of the Diffuse Paradigms