Testing the weak-form efficiency in the Lithuanian stock market

Straipsnyje atskleidžiama silpnos formos efektyvumo samprata. Analizuojami Lietuvos bei užsienio mokslininkų atlikti tyrimai, kuriais buvo siekiama nustatyti įvairių šalių akcijų rinkų efektyvumą. Silpnos formos efektyvumas akcijų rinkose pasireiškia pirmiau nei kitos efektyvumo formos, todėl jį paneigus rinka laikoma neefektyvia. Neefektyvioje rinkoje investuotojai, pasitelkę vien techninę analizę, gali uždirbti didesnį nei vidutinis pelningumą. Susisteminus mokslinę literatūrą parengta tyrimo metodologija silpnos formos efektyvumui nustatyti akcijų rinkose bei empiriškai tiriamas silpnos formos efektyvumas Lietuvos akcijų rinkoje.Study seeks to measure the behavior of stock prices in the Lithuanian stock market, which is expected to follow a random walk. The aim of the study is to measure the weak-form efficiency. The inefficient market has important implications for investors, both domestic and international. Knowledge of profitable arbitrage opportunities due to market predictability serves to attract investors to diversify from more efficient markets to less efficient markets in order to increase their returns. If stock market is weak form efficient, investors can not increase their returns, using technical analysis. The stock prices follow a random walk, if their time series are non-stationary. The augmented Dickey-Fuller unit root test and runs test are used for testing non-stationarity and randomness of 35 companies and OMX Vilnius index over the period from 2005 June 1 until 2009 December 30 and also over the periods divided by the break dates. The weak-form efficient market (random walk) hypothesis of Lithuanian stock market was rejected for the all periods, meaning that the market is inefficient. Only the last period showed the weak-form efficiency of researched market