{"title":"用运行测试评价保加利亚证券交易所的弱形式效率","authors":"","doi":"10.37075/isa.2021.2.05","DOIUrl":null,"url":null,"abstract":"The article aims to test the weak form of efficiency of a sample of public companies on the Bulgarian Stock Exchange (BSE) for the period from October 2000 to June 2020 on the basis of weekly returns. 9 companies and the SOFIX index meet the set criteria for inclusion in the sample. Descriptive characteristics of the weekly returns, autocorrelations and the extended Dickie and Fuller (ADF) stationary test are presented. The methodology of the Runs Test is considered. The Runs Test results reject the weak form of efficiency for the SOFIX index and some of the companies. Autocorrelations of returns further support the rejection of the weak form of efficiency.","PeriodicalId":435790,"journal":{"name":"Economic and social alternatives","volume":"253 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Weak Form Efficiency Evaluation at the Bulgarian Stock Exchange Using Runs Test\",\"authors\":\"\",\"doi\":\"10.37075/isa.2021.2.05\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The article aims to test the weak form of efficiency of a sample of public companies on the Bulgarian Stock Exchange (BSE) for the period from October 2000 to June 2020 on the basis of weekly returns. 9 companies and the SOFIX index meet the set criteria for inclusion in the sample. Descriptive characteristics of the weekly returns, autocorrelations and the extended Dickie and Fuller (ADF) stationary test are presented. The methodology of the Runs Test is considered. The Runs Test results reject the weak form of efficiency for the SOFIX index and some of the companies. Autocorrelations of returns further support the rejection of the weak form of efficiency.\",\"PeriodicalId\":435790,\"journal\":{\"name\":\"Economic and social alternatives\",\"volume\":\"253 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-06-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic and social alternatives\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.37075/isa.2021.2.05\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic and social alternatives","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.37075/isa.2021.2.05","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本文旨在以周收益为基础，测试2000年10月至2020年6月期间保加利亚证券交易所(BSE)上市公司样本的弱形式效率。9家公司和SOFIX指数符合纳入样本的既定标准。给出了周收益的描述特征、自相关性和扩展的Dickie and Fuller (ADF)平稳性检验。考虑了运行测试的方法。运行测试的结果拒绝了SOFIX指数和一些公司的弱效率形式。收益的自相关进一步支持了对弱效率形式的否定。
Weak Form Efficiency Evaluation at the Bulgarian Stock Exchange Using Runs Test
The article aims to test the weak form of efficiency of a sample of public companies on the Bulgarian Stock Exchange (BSE) for the period from October 2000 to June 2020 on the basis of weekly returns. 9 companies and the SOFIX index meet the set criteria for inclusion in the sample. Descriptive characteristics of the weekly returns, autocorrelations and the extended Dickie and Fuller (ADF) stationary test are presented. The methodology of the Runs Test is considered. The Runs Test results reject the weak form of efficiency for the SOFIX index and some of the companies. Autocorrelations of returns further support the rejection of the weak form of efficiency.
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