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The efficiency of the stock market in Serbia

Author

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  • Stakić, Nikola
  • Jovancai, Ana
  • Kapor, Predrag

Abstract

The paper analyzes the application of the hypothesis of the efficiency of financial markets on the financial market in Serbia, i.e. the Belgrade Stock Exchange. The weak form presupposes an impossibility of anticipating a future share price on the basis of available historical pieces of information about the prices, indicating a “random walk” trend with shares. In order to carry out a research into the weak form of efficiency, the BELEX15 Index return daily value of the most liquid shares on the Belgrade Stock Exchange from the beginning of 2006 to the end of 2013 is taken. In order to prove the (un)predictability of the share-price trend, time series stationarity is established by means of the parametric and non-parametric econometric tests, such as the Dickey–Fuller test, the Phillips–Peron (PP) test and the Run Test.

Suggested Citation

  • Stakić, Nikola & Jovancai, Ana & Kapor, Predrag, 2016. "The efficiency of the stock market in Serbia," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 156-165.
    • Handle: RePEc:eee:jpolmo:v:38:y:2016:i:1:p:156-165
    DOI: 10.1016/j.jpolmod.2015.12.001
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    References listed on IDEAS

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    1. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
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    4. Easley, David & O'Hara, Maureen, 1992. "Adverse Selection and Large Trade Volume: The Implications for Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 185-208, June.
    5. Abraham Abraham & Fazal J. Seyyed & Sulaiman A. Alsakran, 2002. "Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets," The Financial Review, Eastern Finance Association, vol. 37(3), pages 469-480, August.
    6. Sarath P. Abeysekera, 2001. "Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange - A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1-2), pages 249-261.
    7. Sarath P. Abeysekera, 2001. "Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1‐2), pages 249-261, January.
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    Citations

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    Cited by:

    1. Michael Anthony Adams, 2020. "Fiscal Policy and Stock Market Efficiency in the USA: An ARDL Bounds Testing Approach," Journal of Accounting, Business and Finance Research, Scientific Publishing Institute, vol. 9(2), pages 73-81.
    2. Trlaković, Jelena & Despotović, Danijela & Ristić, Lela, 2018. "Impact of technology-intensive exports on GDP of Western Balkan Countries," Journal of Policy Modeling, Elsevier, vol. 40(5), pages 1038-1049.
    3. Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019. "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
    4. Muhammad Usman Khurram & Kashif Hamid & Rana Shahid Imdad Akash, 2019. "Market Efficiency, Financial Integration, And Shock Transmission (Empirical Evidence From D-8 Economies)," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 5(4).
    5. Nevi Danila, 2022. "Random Walk of Socially Responsible Investment in Emerging Market," Sustainability, MDPI, vol. 14(19), pages 1-13, September.
    6. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.

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    More about this item

    Keywords

    Financial markets; Market efficiency; Share prices; Random walk; The BELEX15 Index;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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