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Weak form Efficency and Market Risk Evaluation at the BSE (Bulgarian Stock Exchange)

Author

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  • Assoc. Prof. Yordan Yordanov, PhD

    (University of Economics - Varna)

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.

Suggested Citation

  • Assoc. Prof. Yordan Yordanov, PhD, 2021. "Weak form Efficency and Market Risk Evaluation at the BSE (Bulgarian Stock Exchange)," An Annual Book of University of Economics - Varna, University of Economics - Varna, vol. 91(1), pages 105-152, January.
    • Handle: RePEc:vrn:yrbook:y:2021:i:1:p:105-152
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    More about this item

    Keywords

    Capital Markets; Efficiency; Markov Chains; Systematic Risk; Beta;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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