Weak form Efficency and Market Risk Evaluation at the BSE (Bulgarian Stock Exchange)
PhD Assoc. Prof. Yordan Yordanov ()
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PhD Assoc. Prof. Yordan Yordanov: University of Economics - Varna
An Annual Book of University of Economics - Varna, 2021, vol. 91, issue 1, 105-152
The present study aims to test the weak form of efficiency of the BSE for the period from 30.10.2000 to 1.06.2020 on the basis of weekly returns and the system-specific risk relationship on the basis of monthly returns. Markov's chain model is used to test the "random walk" hypothesis by testing a random process in the time series of stock returns. Markov chains are defined in two states - positive and negative returns and second order. The "random walk" hypothesis limits the transition probabilities of Markov chains to be equal, regardless of the previous states. To determine the system-specific risk ratio, the beta parameter of the single-index model is evaluated and systemic risk is determined as a percentage of the total risk.
Keywords: Capital Markets; Efficiency; Markov Chains; Systematic Risk; Beta (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:vrn:yrbook:y:2021:i:1:p:105-152
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