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Semi-Strong Form Efficiency in the Baltic Stock Markets under Changing Economic Situation

机译：在不断变化的经济形势下，波罗的海股市的半强大效率

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摘要

This 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 of stock market efficiency and discusses the results of other studies in the field. Analysis and summary of previous research results revealed that there is a lot of studies test semi-strong form efficiency in various stock markets, but very few analysed Baltic stock markets especially under changing economic situation. This research was based on event studies using Patell's, BMP and cumulative abnormal return tests. The chosen research period of 2000-2016 was divided into two sub-periods by real GDP: 2000-2008 and 2009-2016. 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 Baltic stock markets to earn abnormal returns. Moreover, in the second sub-period the average abnormal returns increased in all analysed markets, potentially due to increased distrust and precaution of investors. The only exception were the results of Patell's test: in Lithuanian and Estonian companies event announcements affected stock prices significantly stronger in the second sub-period, while in Latvian, contrarily, in the first one.
机译：本研究旨在测试波罗的海股市中的半强大形式效率，并在不断变化的经济形势下确定投资者的行为。它涉及描述半强度形式的股票市场效率，并讨论了该领域其他研究的结果。以前的研究结果的分析和概述表明，在各种股票市场中有很多研究测试了半强效率，但很少分析波罗的海股市，特别是在不断变化的经济形势下。该研究基于使用Patell，BMP和累积异常回报测试的事件研究。 2000-2016的所选研究期由真正的GDP：2000-2008和2009-2016分为两个子期。研究结果表明，立陶宛人，拉脱维亚和爱沙尼亚股票市场既不在亚周期中都不高效。薄股票市场没有效率的命题得到了效率，允许投资者在波罗的海股票市场赚取异常回报。此外，在第二个子期间，所有分析的市场中的平均异常返回增加，可能是由于投资者的不信任和预防措施增加。唯一的例外是Patell的测试结果：在立陶宛语和爱沙尼亚公司的事件公告中，第二个子期间的股票价格大幅强大，而在拉脱维亚，相反，在第一个。

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