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)
Author(s): Yordan YordanovSubject(s): Economy, Financial Markets, Public Finances
Published by: Икономически университет - Варна
Keywords: Capital Markets; Efficiency; Markov Chains; Systematic Risk; Beta
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.
Journal: Годишник на Икономически университет - Варна
- Issue Year: 91/2021
- Issue No: 1
- Page Range: 105-152
- Page Count: 48
- Language: Bulgarian