Weak Form Efficiency Evaluation at the Bulgarian Stock Exchange Using Runs Test

Jordan Jordanov
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Jordan Jordanov: University of Economics, Varna, Bulgaria

Ikonomiceski i Sotsialni Alternativi, 2021, issue 2, 60-71

Abstract: The article aims to test the weak form of efficiency of a sample of public companies on the Bulgarian Stock Exchange (BSE) for the period from October 2000 to June 2020 on the basis of weekly returns. 9 companies and the SOFIX index meet the set criteria for inclusion in the sample. Descriptive characteristics of the weekly returns, autocorrelations and the extended Dickie and Fuller (ADF) stationary test are presented. The methodology of the Runs Test is considered. The Runs Test results reject the weak form of efficiency for the SOFIX index and some of the companies. Autocorrelations of returns further support the rejection of the weak form of efficiency.

Keywords: capital market; weak form of efficiency; Runs Test (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:nwe:iisabg:y:2021:i:2:p:60-71

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