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Dyakova, Aneta and Smith, Graham (2013) 'The evolution of stock market predictability in Bulgaria.' Applied Financial Economics, 23 (9). pp. 805-816.

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The martingale hypothesis is tested for two Bulgarian stock price indices and eight stock prices using finite-sample variance ratio tests in a rolling window. The data cover the period beginning in October 2000 and ending in August 2012 and are corrected to remove the effects of infrequent trading. The rolling window captures short-lived predictability and tracks the evolution of stock market predictability. There are successive periods when returns are predictable and then not predictable. This is consistent with the adaptive markets hypothesis, not the efficient markets hypothesis. Overall, returns are more predictable in times of crisis.

Item Type: Journal Article
Keywords: Adaptive markets hypothesis, Bulgarian stock market, martingale, predictability, variance ratio test, weak-form efficiency
SOAS Departments & Centres: Legacy Departments > Faculty of Law and Social Sciences > Department of Economics
Subjects: H Social Sciences > HG Finance
ISSN: 09603107
DOI (Digital Object Identifier):
Date Deposited: 15 Jul 2013 08:58

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