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

Abstract: 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)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:vrn:yrbook:y:2021:i:1:p:105-152

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