Abstract This paper aims to focus weekly stock market prices from the CEECs (Lithuania, Hungary, Romania, Croatia, Slovenia, Poland, Bulgaria, the Slovak Republic, Latvia, Estonia, and the Czech Republic) markets for evidence of weak-form market efficiency. This is complemented by the use of comprehensive unit root tests to test for abnormal return behaviour in these stock markets. For this purpose, Harvey et al. (2008) linearity test was applied in order to determine the characteristics of the series. The results indicate that the series with linear characteristics are Slovenia, Bulgaria, the Slovak Republic, Estonia, and the Czech Republic and those with non-linear characteristics are Lithuania, Hungary, Romania, Croatia, Poland, and Latvia. Then, in order to examine the weak-form market efficiency, DF-GLS (1996), Phillips-Perron (1988) and Lee-Strazicich (2003) unit root tests are applied to linear series and Kapetanios et al. (2003) and Kruse (2011) tests were applied to nonlinear series. The linear and nonlinear unit root tests evidence that all the selected stock markets in CEECs have a unit root, in other words, are non-stationary. In the period analyzed, the results suggest that the weak-form efficient market hypothesis holds in the CEECs. Accordingly, the results indicate support for the validity of the random walks hypothesis in all the selected stock markets in CEECs. It means that investors should not be able to earn abnormal returns by carrying out the same analysis and analysing historical prices in CEECs. The finding of weak-form market efficiency has notable implications from the point of capital allocation, stock price predictability, and the influence of shocks to stock prices.

中文翻译：

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中欧和东欧国家（CEEC）弱形式市场效率的有效性：线性和非线性单位根检验的证据

摘要本文旨在关注CEEC（立陶宛，匈牙利，罗马尼亚，克罗地亚，斯洛文尼亚，波兰，保加利亚，斯洛伐克共和国，拉脱维亚，爱沙尼亚和捷克共和国）市场的每周股票市场价格，以证明弱势市场效率。这是通过使用全面的单位根检验来测试这些股票市场中的异常收益行为来补充的。为此，Harvey等。（2008）应用线性测试以确定该系列的特征。结果表明，具有线性特征的序列是斯洛文尼亚，保加利亚，斯洛伐克共和国，爱沙尼亚和捷克共和国，具有线性特征的序列是立陶宛，匈牙利，罗马尼亚，克罗地亚，波兰和拉脱维亚。然后，为了检验弱形式的市场效率，DF-GLS（1996），Phillips-Perron（1988）和Lee-Strazicich（2003）的单位根检验应用于线性序列，Kapetanios等人。（2003）和Kruse（2011）测试被应用于非线性序列。线性和非线性单位根检验表明，CEEC中所有选定的股票市场都具有单位根，也就是说，它们是非平稳的。在所分析的时期内，结果表明，CEEC中存在弱形式的有效市场假设。因此，结果表明在CEEC的所有选定股票市场中，随机游走假设的有效性均得到支持。这意味着通过进行相同的分析并分析CEEC中的历史价格，投资者不应能够获得不正常的回报。从资本配置，股票价格可预测性，