Forecasting rates of return, thus the attempt to predict the behavior of financial assets, with an\r\nincreased degree of accuracy, represents one of the most outstanding challenges for the\r\nacademic and investment area. The main purpose of the paper is to analyze past fluctuations of\r\nthe prices of security titles, taking into account the original hypothesis that they are influenced\r\nby past values of those prices, and of course, taking into consideration the fact that the amount\r\nof data an investor may posses is much richer than the amount of historical data, with respect to\r\nthe rates of return time series.\r\nIn the end , some conclusions regarding the application of the random walk theory and the\r\nRomanian capital market efficiency were drawn, based on the results obtained from the\r\nstatistical tests, and also, due to the fact that the market efficiency has, as a theoretical approach\r\nand mathematical model, the random walk theory.
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