SOAS Research Online

A Free Database of the Latest Research by SOAS Academics and PhD Students

[skip to content]

Dyakova, Aneta and Smith, Graham (2013) 'Bulgarian stock market relative predictability: BSE-Sofia stocks and South East European markets.' Applied Financial Economics, 23 (15). pp. 1257-1271.

Full text not available from this repository.


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.

Item Type: Journal Article
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 08:59

Altmetric Data


Download activity - last 12 months
Downloads since deposit
Accesses by country - last 12 months
Accesses by referrer - last 12 months

Repository staff only

Edit Item Edit Item