Naslov
Evolving Efficiency of Stock Returns and Market Conditions: The Case from Croatia

Autori
Bošnjak, Mile

Izvornik
Montenegrin journal of economics (1800-5845) 19 (2023), 1; 107-116

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Efficient market hypothesis ; adaptive market hypothesis ; variance ratio test ; market conditions

Sažetak
The main purpose of this paper is to evaluate Croatian stock market under adaptive market hypothesis. Methodology/approach: Following recent and robust variance ratio test with stronger statistical power and fix-length rolling window on daily CROBEX returns from September 1997 up to July 2021 market (in)efficiency of Croatian stock market were considered. To establish a link between market conditions and its inefficiency classification problem was formulated and evaluated using logistic regression approach. Empirical findings suggested time-varying nature of stock market while price levels and trading volumes being significant signals of (in) efficiency. Conclusion: Findings from this paper supported validity of the adaptive market hypothesis for Croatian stock market. Furthermore, periods lower prices and higher liquidity were more likely to be inefficient and might serve as a signal of trading opportunities on Croatian stock market.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA