IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v24y2014i10p705-722.html
   My bibliography  Save this article

Adaptive and relative efficiency of stock markets from Southeastern Europe: a wavelet approach

Author

Listed:
  • B. Bogdanova
  • I. Ivanov

Abstract

Adaptive and relative market efficiency of seven Southeast European stock exchanges is investigated for a period of 11 years. A wavelet-based technique is utilized to the daily return series of the major stock indices in order to track the evolution of the LRD parameter, since its value is closely related to the degree of returns predictability. A major finding is that a sustainable degree of predictability is present for the stock markets of Bulgaria and Serbia, which is not diminishing over time. The Croatian and Russian markets are characterized by diminishing level of predictability, while the Greek and the Romanian markets are eventually converging to efficient functioning. The Turkish stock exchange is found to be highly efficient throughout the period of investigation. For the purpose of measuring the relative efficiency of the investigated markets, the obtained results are compared to those delivered for six developed stock exchanges, and significant differences in their informational efficiency patterns are discovered. These findings have important implications for risk diversification and portfolio management.

Suggested Citation

  • B. Bogdanova & I. Ivanov, 2014. "Adaptive and relative efficiency of stock markets from Southeastern Europe: a wavelet approach," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 705-722, May.
    • Handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:705-722
    DOI: 10.1080/09603107.2014.899669
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/09603107.2014.899669
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603107.2014.899669?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Francesco Guidi & Rakesh Gupta & Suneel Maheshwari, 2011. "Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(3), pages 337-389, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
    2. Ivanov, Ivan & Kabaivanov, Stanimir & Bogdanova, Boryana, 2016. "Stock market recovery from the 2008 financial crisis: The differences across Europe," Research in International Business and Finance, Elsevier, vol. 37(C), pages 360-374.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dragos Stefan Oprea & Elena Valentina Tilica, 2014. "Day-of-the-Week Effect in Post-Communist East European Stock Markets," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 119-129, July.
    2. Brajaballav Kar & Chandrabhanu Das, 2022. "Cryptocurrency Response to COVID-19: A Test of Efficient Market Hypothesis," Springer Proceedings in Business and Economics, in: Rabi Narayan Subudhi & Sumita Mishra & Abu Saleh & Dariush Khezrimotlagh (ed.), Future of Work and Business in Covid-19 Era, pages 9-18, Springer.
    3. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
    4. Joanna Olbryś & Elżbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 24(1), pages 51-70.
    5. 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.
    6. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.
    7. Josip ARNERIĆ & Blanka ŠKRABIĆ PERIĆ, 2018. "Panel GARCH Model with Cross-Sectional Dependence between CEE Emerging Markets in Trading Day Effects Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 71-84, December.
    8. Shikta Singh & Chandrabhanu Das, 2020. "Calendar Anomalies in the Banking and it Index: The Indian Experience," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(4), pages 439-448, April.
    9. NUHIU Artor & ALIU Florin & ALIU Fisnik & HOTI Arbër, 2023. "Measuring Market Efficiency Through Valuation Techniques: The Case Of Visegrad Countries Stock Markets," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 198-217, April.
    10. Ignacio Ortiz Betancourt & Téllez Maria del Carmen Meza & Mariel Terrones Castro, 2021. "E-Commerce as Mechanism for Enhancing Micro and Small Enterprises: The Case of a Port Conurbated Area in the Southeast of Mexico," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 3, May - Aug.
    11. Yao, Can-Zhong & Mo, Yi-Na & Zhang, Ze-Kun, 2021. "A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    12. Oleg Deev & Dagmar Linnertová, 2012. "Intraday and intraweek trade anomalies on the Czech stock market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 79-88.
    13. Abdul Aziz Farid Saymeh, 2013. "Empirical Testing for Weak Form Hypothesis of Emerging Capital Markets: A Comparative study of Jordan’s ASE and Turkey’s BORSA IST," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 1(2), pages 20-26.
    14. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
    15. Alin Marius ANDRIEŞ & Iulian IHNATOV & Nicu SPRINCEAN, 2017. "Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 60-83, December.
    16. Fatma SIALA GUERMEZI, & Amani BOUSSAADA, 2016. "The Weak Form Of Informational Efficiency: Case Of Tunisian Banking Sector," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-1, January.
    17. Min-Yuh Day & Paoyu Huang & Yirung Cheng & Yensen Ni, 2023. "Investing Strategies for Trading Stocks as Overreaction Triggered by Technical Trading Rules with Big Data Concerns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 148-161, October.
    18. Florin Aliu & Adriana Knápková & Hoang Khang Tran & Bashkim Nurboja, 2020. "Modeling the Equilibrium Price of the Companies Listed in the Prague Stock Exchange," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 68(4), pages 731-739.
    19. Yensen Ni & Min-Yuh Day & Yirung Cheng & Paoyu Huang, 2022. "Can investors profit by utilizing technical trading strategies? Evidence from the Korean and Chinese stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    20. Satish Kumar & Vinodh Madhavan & Riya Sureka, 2020. "The Journal of Emerging Market Finance: A Bibliometric Overview (2002–2019)," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(3), pages 326-352, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:24:y:2014:i:10:p:705-722. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.