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Stefan Simeonov, Teodor Todorov, Daniel Nikolaev
Determinants of Stock Exchange Activity in the Conditions of the Bulgarian Fund Market
JEL: G19, E44, C32

Keywords: stock market activity, determinants of stock exchange activity, stock market activity indicators, stock exchange volume, stock exchange turnover, stationarity, random walk, autoregression

Summary: Popular scientific and practical researches on stock exchanges usually consider price indicators, especially stock indices, which essentially reflect economic expectations. Unlike those, the present study focuses on stock market activity, measured by the direct stock exchange indicators � stock exchange volume and stock exchange turnover. We have selected seventeen determinants of stock exchange activity, which are initially subject to correlation analysis together with the two indicators. Relatively weak dependencies on macro factors have been found as for the natural indicator (the stock exchange volume) and slightly stronger dependencies of the price indicator (the stock exchange turnover) have been established. The subsequent causality analysis, based on the Granger model, sheds light on some of the more significant determinants of stock exchange volume and turnover at the Bulgarian Stock Exchange. In the monthly surveys, the stock exchange volume factors are inflation in Bulgaria, silver and platinum price changes and, regarding stock exchange turnover, Leonia + interest rates and quotes in addition. In the quarterly observations, the amount of household deposits appears with impact that is more significant.
Stefan Simeonov, Teodor Todorov, Daniel Nikolaev
Development of Frequency Analysis of the Volatility in a Model to Forecast the Financial Markets Trend and Comparative Empirical Assessment with the Technical Analysis
JEL: G17, G14, C13, C00

Keywords: forecasting the market trend, Modified Frequency Analysis of Volatility and Trend with Movable Calculating, technical indicators, stock exchange profile, stock exchange indexes

Summary: The present study aims to develop the concept of predictive applicability of the Frequency Analysis of the Volatility and Trend (FAVT) as well as practical testing of the modified model for forecasting stock exchange indexes with different characteristics. For greater objectivity in estimating the forecast outcomes, FAVT is placed in parallel with traditional statistical models and the most popular method in stock exchange traders - technical analysis. In the first part of the study we develop the methodology of the concept of predictive applicability of FAVT in its modified version with movable calculation (FAVT-MC) of the frequency coefficients. The methodology of the study includes investment analysis measures, traditional statistical forecasting models, quantitative indicators of technical analysis and a modified version of the FAVT-MC. The conclusions of the statistical analysis show low applicability of linear forecasting in determining changes in the trend, while the alternative approach � non-linear forecasting yields significantly better results but under conditions of high investment activity and large variation. The choice of technical analysis tools is deliberately placed on quantitative measures known as technical indicators and does not include Eliot's Wave Theory. The results found are of varying reliability for the over ten technical indicators applied. Exploration of the forecasting significance of the FAVT with movable calculation for the main (long-term) trends on stock exchange indexes achieved results with a reliable signal value for the end of the large growth before the general stock market collapse at the end of 2007. Clearly unambiguous results for all the periods surveyed in the performance of the different stock indices regarding the change of their major trends after the 2008 crisis were not established. A more significant importance of the modified frequency analysis, allowing the reading of forecast signals, is established for the short-term trends of the stock exchange indices.

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