Kiril Jovanovski – Ss Cyril and Methodius University in Skopje, Faculty of Economics – Skopje, bul. Goce Delcev 9v, Skopje, North Macedonia

Hristina Tanevska – Komercijalna banka ad Skopje, ul. Orce Nikolov, No. 3, Skopje, North Macedonia



Keywords:                    Information efficiency;
Efficient market hypothesis;
Underdeveloped financial
Weak form of efficiency;
Technical analysis


Abstract: Testing the efficient market hypothesis can always bring interest­ing points regarding the functions of the financial markets. Every investor wants to beat the market, and therefore he is trying to find information that will gain him some privileges. On the other side, the stock exchanges and reg­ulatory agencies are striving to eliminate those information privileges. This is where market efficiency, its theory, and its forms come into question. Until to­day one can find research on testing the efficiency of different developed mar­kets. However, there are still a lot of gaps in research involving small and un­derdeveloped markets. This research may put the developing markets on the investment opportunities map of international investors. The purpose of this paper is to show how information efficiency relates to the Macedonian stock market by testing the weak form efficiency, using the augmented Dickey-Full­er (ADF) test to observe whether they contain a unit root or not. The results will be used to show the opportunities for adopting a profitable investment strat­egy using the technical analysis of the Macedonian stock exchange. Addition­ally, the results show that by using the mouthy price differences one cannot beat the market as the prices are moving with a random walk, which is not the case if investors are analyzing daily price differences.

8th International Scientific ERAZ Conference – ERAZ 2022 – Conference Proceedings: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT, Online-Virtual (Prague, Czech Republic), May 26, 2022

ERAZ Conference Proceedings published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ERAZ conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; AMBIS University, Prague – Czech Republic; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia

ERAZ Conference 2022 Conference Proceedings: ISBN 978-86-80194-60-8, ISSN 2683-5568, DOI:

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

Sugested citation

Jovanovski, K., & Tanevska, H. (2022). Information Efficiency in Small and Underdeveloped Financial Market. In V. Bevanda (Ed.), ERAZ Conference – Knowlegde Based Sustainable Development: Vol 8. Conference Proceedings (pp. 95-100). Association of Economists and Managers of the Balkans.


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