Emergent capital markets' efficiency: The case of Romania

Many financial models are based on the efficient capital markets hypothesis. Therefore, the validation of this concept is an interesting investigation field, not only for the developed economies but also for the emergent ones. The results of our research could be useful to evaluate the applicability of these models in developing capital markets. For testing informational efficiency, we focused on the Romanian case, using standard methods. Based on such classical tests, we could conclude the market inefficiency. However, transaction costs, and also temporary lack of liquidity, do not allow earning excessive returns. Nevertheless, the asset prices are not the result of a rational fundamental valuation, so our study finally concludes the inefficiency of the Romanian capital market.