Weak form efficiency of stock markets in Bosnia and Herzegovina and neighboring countries
Başlık çevirisi mevcut değil.
- Tez No: 626100
- Danışmanlar: PROF. DANIŞMAN YOK
- Tez Türü: Doktora
- Konular: Maliye, Finance
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2019
- Dil: İngilizce
- Üniversite: Saraybosna Üniversitesi
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 217
Özet
Özet yok.
Özet (Çeviri)
This study aimed to assess the weak-form efficiency stock-exchange markets in Bosnia and Herzegovina and to compare it with stock-exchange markets in Croatia, Montenegro, and Serbia. The primary focus was the period beginning with the creation of the benchmark indices of respective markets until the end of 2018. The research also examined the effects of the financial crisis on the level of efficiency stock-exchange markets. Comparatively, the research tested the change in the efficiency levels in the long-term horizon compared to short-term and the nature of interrelationship among the markets, and as well as the comparison of the efficiency of individual stock exchange markets in Bosnia and Herzegovina to the efficiency of the overall market using the Bosnian Trade Index (BATX). For testing the main research questions and hypothesis, the study employed different parametric as well as non-parametric tests, including the serial correlation, autoregressive model, and run test, individual as well as multiple variance ratio tests and asymmetric GARCH model. The results consistently showed that none of the examined markets are weakform efficient, with an exception of the Croat stock-exchange market but only in the pre-crisis period. The results demonstrated that the crisis brought upon increased inefficiency of stock exchange markets in Bosnia and Herzegovina. Then, long-term inefficiency was detected in all stock-exchange markets. The overall stock-exchange market of Bosnia and Herzegovina was found to be less inefficient than its individual markets. A leverage effect was present at all examined stock-exchange markets and mean-reverting tendencies were detected at the Sarajevo Stock Exchange market. The study concluded that it is possible to forecast future price movements using the information of the past movements while recognizing the limitations brought upon by the thin trading in these markets.
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