Оценка на слабата форма на ефективност и пазарния риск на Българска фондова борса
Weak form Efficency and Market Risk Evaluation at the BSE (Bulgarian Stock Exchange)

Summary/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.

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