{"id":"https://openalex.org/W3216905613","doi":"https://doi.org/10.1109/icstcc52150.2021.9607175","title":"Estimating a degree of evolving market efficiency: How efficient is the Romanian stock market?","display_name":"Estimating a degree of evolving market efficiency: How efficient is the Romanian stock market?","publication_year":2021,"publication_date":"2021-10-20","ids":{"openalex":"https://openalex.org/W3216905613","doi":"https://doi.org/10.1109/icstcc52150.2021.9607175","mag":"3216905613"},"language":"en","primary_location":{"id":"doi:10.1109/icstcc52150.2021.9607175","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icstcc52150.2021.9607175","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 25th International Conference on System Theory, Control and Computing (ICSTCC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041363585","display_name":"Maria V. Kulikova","orcid":"https://orcid.org/0000-0001-8470-9831"},"institutions":[{"id":"https://openalex.org/I3130395211","display_name":"Instituto Tecnol\u00f3gico Superior de Xalapa","ror":"https://ror.org/009rr6x76","country_code":"MX","type":"education","lineage":["https://openalex.org/I3130395211"]},{"id":"https://openalex.org/I141596103","display_name":"University of Lisbon","ror":"https://ror.org/01c27hj86","country_code":"PT","type":"education","lineage":["https://openalex.org/I141596103"]},{"id":"https://openalex.org/I4210100009","display_name":"Iscte \u2013 Instituto Universit\u00e1rio de Lisboa","ror":null,"country_code":"PT","type":null,"lineage":["https://openalex.org/I4210100009"]}],"countries":["MX","PT"],"is_corresponding":true,"raw_author_name":"Maria V. Kulikova","raw_affiliation_strings":["CEMAT, Instituto Superior Técnico Universidade de Lisboa, Lisbon, Portugal","cnico Universidade de Lisboa, Lisbon, Portugal","CEMAT, Instituto Superior T&#x00E9"],"affiliations":[{"raw_affiliation_string":"CEMAT, Instituto Superior Técnico Universidade de Lisboa, Lisbon, Portugal","institution_ids":["https://openalex.org/I4210100009"]},{"raw_affiliation_string":"cnico Universidade de Lisboa, Lisbon, Portugal","institution_ids":["https://openalex.org/I141596103"]},{"raw_affiliation_string":"CEMAT, Instituto Superior T&#x00E9","institution_ids":["https://openalex.org/I3130395211"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022439800","display_name":"David Taylor","orcid":"https://orcid.org/0000-0001-9762-7878"},"institutions":[{"id":"https://openalex.org/I148561064","display_name":"African Institute for Mathematical Sciences","ror":"https://ror.org/02f9k5d27","country_code":"ZA","type":"education","lineage":["https://openalex.org/I148561064"]},{"id":"https://openalex.org/I157614274","display_name":"University of Cape Town","ror":"https://ror.org/03p74gp79","country_code":"ZA","type":"education","lineage":["https://openalex.org/I157614274"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"David R. Taylor","raw_affiliation_strings":["The African Institute of Financial Markets & Risk Management, University of Cape Town, Cape Town, South Africa","The African Institute of Financial Markets &#x0026","Risk Management, University of Cape Town, Cape Town, South Africa"],"affiliations":[{"raw_affiliation_string":"The African Institute of Financial Markets & Risk Management, University of Cape Town, Cape Town, South Africa","institution_ids":["https://openalex.org/I148561064"]},{"raw_affiliation_string":"The African Institute of Financial Markets &#x0026","institution_ids":[]},{"raw_affiliation_string":"Risk Management, University of Cape Town, Cape Town, South Africa","institution_ids":["https://openalex.org/I157614274"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5023299790","display_name":"Gennady Yu. Kulikov","orcid":"https://orcid.org/0000-0002-1663-6009"},"institutions":[{"id":"https://openalex.org/I148561064","display_name":"African Institute for Mathematical Sciences","ror":"https://ror.org/02f9k5d27","country_code":"ZA","type":"education","lineage":["https://openalex.org/I148561064"]},{"id":"https://openalex.org/I157614274","display_name":"University of Cape Town","ror":"https://ror.org/03p74gp79","country_code":"ZA","type":"education","lineage":["https://openalex.org/I157614274"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Gennady Yu. Kulikov","raw_affiliation_strings":["The African Institute of Financial Markets & Risk Management, University of Cape Town, Cape Town, South Africa","Risk Management, University of Cape Town, Cape Town, South Africa","The African Institute of Financial Markets &#x0026"],"affiliations":[{"raw_affiliation_string":"The African Institute of Financial Markets & Risk Management, University of Cape Town, Cape Town, South Africa","institution_ids":["https://openalex.org/I148561064"]},{"raw_affiliation_string":"Risk Management, University of Cape Town, Cape Town, South Africa","institution_ids":["https://openalex.org/I157614274"]},{"raw_affiliation_string":"The African Institute of Financial Markets &#x0026","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5041363585"],"corresponding_institution_ids":["https://openalex.org/I141596103","https://openalex.org/I3130395211","https://openalex.org/I4210100009"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.24955092,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"665","last_page":"670"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9986000061035156,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6522535085678101},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.6133900880813599},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.5624440908432007},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.5478524565696716},{"id":"https://openalex.org/keywords/efficient-market-hypothesis","display_name":"Efficient-market hypothesis","score":0.5117089748382568},{"id":"https://openalex.org/keywords/financial-crisis","display_name":"Financial crisis","score":0.5039748549461365},{"id":"https://openalex.org/keywords/recession","display_name":"Recession","score":0.49613913893699646},{"id":"https://openalex.org/keywords/state-space-representation","display_name":"State-space representation","score":0.48536217212677},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.47740641236305237},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.44194793701171875},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4165692627429962},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.39117950201034546},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.19472050666809082},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.15818768739700317},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.12827527523040771},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1184808611869812},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.08944904804229736}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6522535085678101},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.6133900880813599},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.5624440908432007},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5478524565696716},{"id":"https://openalex.org/C29368100","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Efficient-market hypothesis","level":4,"score":0.5117089748382568},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5039748549461365},{"id":"https://openalex.org/C195742910","wikidata":"https://www.wikidata.org/wiki/Q176494","display_name":"Recession","level":2,"score":0.49613913893699646},{"id":"https://openalex.org/C52918065","wikidata":"https://www.wikidata.org/wiki/Q230945","display_name":"State-space representation","level":2,"score":0.48536217212677},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.47740641236305237},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.44194793701171875},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4165692627429962},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.39117950201034546},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.19472050666809082},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.15818768739700317},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.12827527523040771},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1184808611869812},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.08944904804229736},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icstcc52150.2021.9607175","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icstcc52150.2021.9607175","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 25th International Conference on System Theory, Control and Computing (ICSTCC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320334779","display_name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","ror":"https://ror.org/00snfqn58"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W87737687","https://openalex.org/W1531218787","https://openalex.org/W1580486338","https://openalex.org/W1608505846","https://openalex.org/W1978475619","https://openalex.org/W2053623400","https://openalex.org/W2090585617","https://openalex.org/W2090637028","https://openalex.org/W2110292450","https://openalex.org/W2122512809","https://openalex.org/W2151791233","https://openalex.org/W2276936667","https://openalex.org/W2304148247","https://openalex.org/W2734822207","https://openalex.org/W2913298732","https://openalex.org/W3122305330","https://openalex.org/W3125024994","https://openalex.org/W6603578693","https://openalex.org/W6634802087","https://openalex.org/W6636615880","https://openalex.org/W6676549990","https://openalex.org/W6694709819","https://openalex.org/W6740543287"],"related_works":["https://openalex.org/W2900280076","https://openalex.org/W3125430893","https://openalex.org/W4294770264","https://openalex.org/W2259679835","https://openalex.org/W4248030635","https://openalex.org/W2372057879","https://openalex.org/W3188916907","https://openalex.org/W2766298999","https://openalex.org/W2582140279","https://openalex.org/W2754349384"],"abstract_inverted_index":{"In":[0],"this":[1,42],"paper,":[2],"a":[3,18,49,63,89,95,99,174],"form":[4],"of":[5,10,52,82,118,144,158],"adaptive":[6],"weak-form":[7,139],"market":[8,14,53,137],"efficiency":[9,27,54,68],"the":[11,31,37,66,73,83,106,116,119,125,134,142,155,159,167],"Romanian":[12,135],"stock":[13,85,136],"is":[15,28,55,69,138,171],"examined":[16],"via":[17],"state-space":[19,39],"approach.":[20],"A":[21],"general":[22],"methodology":[23],"for":[24,47],"estimating":[25],"evolving":[26,67],"proposed":[29],"within":[30],"extended":[32],"Kalman":[33],"filter":[34],"associated":[35],"with":[36],"customized":[38],"models":[40,61],"in":[41,75,173],"work.":[43],"The":[44],"suggested":[45],"approach":[46],"measuring":[48],"time-varying":[50],"degree":[51],"based":[56],"on":[57],"time-dependent":[58],"autoregressive":[59],"(AR)":[60],"where":[62],"conclusion":[64],"regarding":[65],"deduced":[70],"by":[71,79,154],"tracking":[72],"changes":[74],"regression":[76],"coefficients.":[77],"Motivated":[78],"previous":[80],"studies":[81],"Bucharest":[84],"exchange,":[86],"we":[87],"explore":[88],"structural":[90],"time-series":[91],"model":[92],"that":[93,133],"contains":[94],"stochastic":[96],"trend":[97],"and":[98,124,148],"white":[100],"noise":[101],"component.":[102],"Monthly":[103],"data":[104],"covers":[105],"period":[107,117],"from":[108],"September":[109],"1997":[110],"to":[111],"December":[112],"2020,":[113],"which":[114,170],"includes":[115],"2008–2009":[120,168],"global":[121],"financial":[122],"crisis":[123],"recent":[126],"COVID-19":[127,160],"recession.":[128],"Our":[129],"major":[130],"findings":[131],"reveal":[132],"efficient":[140],"at":[141],"end":[143],"our":[145],"empirical":[146],"study":[147],"has":[149],"not":[150],"been":[151],"greatly":[152],"affected":[153],"first":[156],"wave":[157],"pandemic.":[161],"However,":[162],"it":[163],"suffered":[164],"severely":[165],"during":[166],"crisis,":[169],"reflected":[172],"lingering":[175],"recovery":[176],"process.":[177]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}