Semi-strong form efficiency in the Baltic stock markets under changing economic situation
LTReikšminiai žodžiai: Efficient market hypothesis; Semi-strong form efficiency; Stock markets; Abnormal returns; Event studies; Economic situation.
ENThis study is designed to test semi-strong form efficiency in the Baltic stock markets and to identify investors’ behaviour under changing economic situation. It involves description of semi-strong form stock market efficiency and discusses the results of other studies in the field. Analysis and summary of previous research results showed that there are a lot of studies testing semi-strong form efficiency in various stock markets, but only a few analysed Baltic stock markets, especially under changing economic situation. This research employed event study methodology – Patell’s, BMP and cumulative abnormal return tests. The chosen research period of 2000–2016 was divided into two sub-periods based on changes of OMX Baltic Benchmark index: January 2000 – March 2009 and April 2009 – December 2016. The research results showed that Lithuanian, Latvian and Estonian stock markets were not efficient in semi-strong form in neither of the sub-periods. The proposition, that thin stock markets are not efficient was confirmed, allowing investors in the Baltic stock markets to earn abnormal returns. In the second sub-period the average abnormal returns increased in all analysed markets, potentially due to increased distrust and precaution of investors. Nevertheless, significance of the difference between the levels of inefficiency in both sub-periods was partly approved in the Baltic stock markets. [From the publication]
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