caa a22 4500 605534411 CHVBK 20210128100842.0 cr unu---uuuuu 210128e20151101xx s 000 0 eng 10.1007/s10663-014-9272-0 doi (NATIONALLICENCE)springer-10.1007/s10663-014-9272-0 Development of stock market pricing in Central and Eastern Europe through two decades after the transition [Elektronische Daten] [Gábor Bóta, Mihály Ormos] In this paper we investigate the development of capital market pricing in six Central and Eastern European (CEE) post-communist countries (the Czech Republic, Estonia, Hungary, Poland, Romania and Slovakia) in the two decades after the change of regime. To make the results for these markets directly comparable with those for other developed markets we incorporate four developed countries as well: Austria (also representing the geographic, but not the socio-economic CEE region), Germany, United Kingdom, and the USA. We find that the Central and Eastern European stock market indexes investigated have shown continuous development in terms of a weak form of market efficiency during the past two decades. The results of the runs tests show that the null hypothesis of randomness can be rejected typically prior to 2000; however, since then, the daily returns of the indexes follow a random walk process. We find that, in the case of the largest CEE stock exchange, the Warsaw Stock Exchange in Poland, this development was quicker. The results of the variance ratio analyses coincide with these findings: comparing the test results for 1991-2003 and 2004-2011, the non-unit variance ratios disappear or at least their significance levels decrease. It is an interesting fact that both runs tests and variance ratios indicate higher efficiency for the indexes calculated in USD instead of local currencies. Springer Science+Business Media New York, 2014 Market efficiency nationallicence CEE countries nationallicence Runs test nationallicence Unit root test nationallicence Variance ratio test nationallicence Bóta Gábor Department of Finance, Budapest University of Technology and Economics, Magyar tudósok krt. 2., 1117, Budapest, Hungary aut Ormos Mihály Department of Finance, Budapest University of Technology and Economics, Magyar tudósok krt. 2., 1117, Budapest, Hungary aut Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 685-708 0340-8744 42:4<685 2015 42 10663 https://doi.org/10.1007/s10663-014-9272-0 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10663-014-9272-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Bóta Gábor Department of Finance, Budapest University of Technology and Economics, Magyar tudósok krt. 2., 1117, Budapest, Hungary aut NATIONALLICENCE 700 1- Ormos Mihály Department of Finance, Budapest University of Technology and Economics, Magyar tudósok krt. 2., 1117, Budapest, Hungary aut NATIONALLICENCE 773 0- Empirica Springer US; http://www.springer-ny.com 42/4(2015-11-01), 685-708 0340-8744 42:4<685 2015 42 10663