Determinants of Stock Exchange Activity in the Conditions of the Bulgarian Fund Market
Authors- STEFAN SIMEONOV
Tsenov academy of economics - Teodor Todorov
Department of Finance and Credit at D. A. Tsenov Academy of Economics
- Daniel Nikolaev
D. A. Tsenov Academy of Economics – Svishtov The Department of Finance and Credit
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.
Pages: 15
DOI:
