SUMMARIZED FACTS ON THE CAPITAL RETURN: BY THE EXAMPLE OF THE SOFIX INDEX

VLADIMIR TSENKOV

 

Abstract

The present research shows summarized data on the statistical properties of return and volatility of the Bulgarian capital market following the example of the SOFIX index. We recognized facts, such as the existence of autocorrelations, non-linear dependences, distributions with kurtosis and fat tails and non-stationary of volatility, that characterize return and volatility. Upon examining the results from those indicators, we discarded the applications of the efficient-market hypothesis and the random walk hypothesis regarding the dynamics of the examined index. The results’ presentation is related to the tendencies displayed by other emerging and developing markets.

 

Key words

Financial Time Series, Financial Market, Efficient-Market hypothesis, Random Walks hypothesis, Autocorrelation

 

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