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Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets

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  • Aneta Dyakova
  • Graham Smith

Abstract

The degree of return predictability is measured for 40 Bulgarian stocks, two Bulgarian stock market indices and 13 other South East European stock market indices using three finite-sample variance ratio tests. Daily data corrected for infrequent trading are used in a fixed-length rolling window to capture short-horizon predictability and rank Bulgarian stocks and South East European stock market indices by relative predictability. Overall, the degree of return predictability for both stocks and stock market price indices varies widely. For Bulgarian stocks, the degree of predictability is greater the less liquid is the market for a particular stock. For market indices, the degree of predictability is negatively related to capitalization, liquidity and market quality; small, new, relatively illiquid and less-developed stock markets are more predictable than large, liquid, developed markets.

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  • Aneta Dyakova & Graham Smith, 2013. "Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1257-1271, August.
    • Handle: RePEc:taf:apfiec:v:23:y:2013:i:15:p:1257-1271
    DOI: 10.1080/09603107.2013.802089
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    2. Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian, 2020. "Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 605-619, December.
    3. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    4. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
    5. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.

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