Хипотезата за ефективните пазари и глобалната финансова криза – по примера на индексите SOFIX, DJIA и DAX
Efficient-Market Hypothesis and the Global Financial Crises – on the Example of SOFIX, DJIA и DAX Indexes

Summary/Abstract: The goal of the current study is to determine the information influence between the developed and developing capital market in the conditions of global financial crisis since 2007, discussed in the aspect of the Efficient-Market Hypothesis (EMH) on the example of the DJIA, DAX and SOFIX indexes. The empirical results show the determining influence of DJIA concerning the dynamic of the other studied indexes, especially in a period of crisis. Established are statistical evidences for rejecting the EMH assumptions concerning the Bulgarian capital market. The presence and direction of impact on it by the studied developed capital markets are clearly outlined. This impact is significant only in a period of crisis and shows the determining influence of DJIA to DAX concerning SOFIX. An econometric modeling concerning return and variability of the studied indexes is made through EGARCH models using Student-t distribution. There is an increase of the descriptive power of the applied models concerning return and variability of SOFIX when including data from DJIA. The analysis of the indicators information efficiency and asymmetry concerning the Bulgarian index shows the faster and bigger inclusion of negative information in the values of the index. The differences in presenting the market information and the determining influence of DJIA by DAX and SOFIX are clearly outlined. Such difference is present also concerning the manifestation of the so-called leverage effect. The study determines in percentage the influence of the information of the USA index on the variability of the Bulgarian one. The achieved results from this study reject the EMH assumptions and the suggestion of random wandering of the studied indexes, as well as the statement of a weak correlation between the developed and developing capital markets, especially in a period of a crisis.

• Details
• Contents