The efficiency of the stock market in Serbia

The paper analyzes the application of the hypothesis of the efficiency of financial markets on the financial market in Serbia, i.e. the Belgrade Stock Exchange. The weak form presupposes an impossibility of anticipating a future share price on the basis of available historical pieces of information about the prices, indicating a “random walk” trend with shares. In order to carry out a research into the weak form of efficiency, the BELEX15 Index return daily value of the most liquid shares on the Belgrade Stock Exchange from the beginning of 2006 to the end of 2013 is taken. In order to prove the (un)predictability of the share-price trend, time series stationarity is established by means of the parametric and non-parametric econometric tests, such as the Dickey–Fuller test, the Phillips–Peron (PP) test and the Run Test.