ABSTRACT. Following the consequences of the global financial crises, transparency and efficiency conditions of a local economic system have become important remedies for restoring of financial markets. This study provides measure of transparency and efficiency with correlation to liquidity and volatility and is taking into account the stock price reaction of emerging financial stock markets of Eastern Europe area and Turkey. We find that observed countries don't fully answer the expected sign of transparency, liquidity and risk measure, which meets the innovation from previous works (Berglöf, Pajuste, 2005). It raises doubts concerning functioning of legal basement in these countries and affects the decisions about investments. In line with previous research (Ivanov, Lomev and Bogdanova, 2012) our findings show that these countries don't prove to have certain transparency expectations, which could result in a limited access to market information and in a decrease of market efficiency.

The negative effect of financial crises on the emerging financial markets of Eastern Europe grew stronger due to a lack of transparency and low market efficiency. For this reason, our research focuses on transparency and efficiency measures with correlation to liquidity and volatility to gauge stock price reaction during two financial crises periods. Our findings revealed a very chaotic picture of the market and the presence of uncontrolled development. As it turned out, Eastern European financial markets did not meet our expectations regarding transparency, liquidity and risk. Hence, it calls into question the soundness of the rule of law, which raises doubts among investors. Our results demonstrated that Eastern European countries tend not to be characterized by transparency, which leads to limited market information and a greater likelihood of low-level stock market efficiency in terms of the Fama approach.