TESTING THE EFFICIENCY MARKET HYPOTHESIS: AN EXAMPLE OD BOSNIA AND HERZEGOVINA
Abstract: Governments of many countries, companies and business organizations last decades increasingly pay attention and recognize the importance of the capital market for economic growth and development. One of the factors that has strong infl uence on the capital market, as a platform for long-term borrowing and obtaining funds, is the price movement of fi nancial instruments traded on capital market. Th e price movement of fi nancial instruments is linked to the effi ciency of the market, and is under strong infl uence of all available information about companies, which quickly refl ect on the prices of fi nancial instruments. Fama (1965) was one of the fi rst economist who used term „effi cient fi nancial market“. He conducteda research on the fi nancial market and pointed out that in an effi cient market, on average, competition would cause that all eff ects of the latest market information will be included through the value of shares traded. Th e hypothesis of an effi cient fi nancial market suggests that the price of the shares, fi nancial instruments, refl ects all available information, so investor cannot realize extra profi ts if he has some certain insider information or on the basis of publicly available historical data and information. Many investors are trying to fi nd those securities that are underestimated, and for which is expected to growth in the future. In a case of effi cient fi nancial market, it is quite impossible to fi nd underestimated securities because information quickly incorporated into the price of securities. Ttesting of the effi ciency of fi nancial market is largely present in the developed markets, while somewhat weaker tests have been carried out on the examples of transitional fi nancial markets. In published researches it is most often confi rmed that transition countries have or have had poorly performing fi nancial markets, especially in the initial stages of their development (Bahmani-Oskooee et al, 2016; Kvedaras and Basdevant, 2002). In this research we are testing the effi cient market hypothesis for the fi nancial market in Bosnia and Herzegovina. We tested hypothesis that the fi nancial market is weakly effi cient. For this test we are using stock index data from the Sarajevo and Banja Luka Stock Exchange, SASX10, BIRS and BATX index. Th e analysis includes daily, weekly and monthly index movements from 2006 to August 2018, for SASX 10 and BIRS indices, while BATX data is available from 2009 until August 2018. In the fi rst step we calculate returns for all periods (deily, weekly and montly) between indicies and in another step we tested autocorrelation between their returns. Effi cient market hypothesis has been tested through three statistical tests: autocorrelation test, run test and variance test. Th e results obtained by applying diff erent tests do not give a single answer to the question whether fi nancial market in Bosnia and Herzegovina perform at a low level of effi ciency. Auto-correlation tests reject the hypothesis of weak form market effi ciency, while the run test and the test of variance ratios confi rm the weak form of market effi ciency. Such fi ndings suggest that it is not possible, with suffi cient precision, to predict trends in the fi nancial market in Bosnia and Herzegovina.
Key words: Efficient market hypothesis, autocorrelation, run test, variance ratio test, fi nancial market in Bosnia and Herzegovina.
Sažetak: Posljednjih dekada vlade brojnih država kao i kompanije te poslovne organizacije, sve više shvataju i prepoznaju važnost tržišta kapitala za ekonomski rast i razvoj. Jedan od faktora koji opredjeljuje poslovanje različitih subjekata na tržištu kapitala, kao platforme za dugoročno zaduživanje i pribavljanje sredstava, jeste kretanje cijena fi nansijskih instrumenata kojima se trguje na ovom tržištu. Kretanje cijena fi nansijskih instrumenata povezuje se sa efi kasnosti tržišta, i pod snažnim je uticajem svih dostupnih informacija o kompanijama, koje se vrlo brzo odražavaju na cijene fi nansijskih instrumenata. Hipoteza efi kasnog fi nansijskog tržišta sugeriše da cijene akcija, fi nansijskih instrumenata, u potpunosti refl ektuju sve dostupne informacije, te tako investitor nije u mogućnosti da ostvari ekstra profi t na osnovu određenih insajderskih informacija ili na osnovu javno dostupnih istorijskih podataka i informacija. U ovom istraživanju testira se efi kasnost fi nansijskog tržišta u Bosni i Hercegovini pri čemu se polazi od hipoteze da je fi nansijsko tržište slabo efi kasno. Testiranje se provodi korištenjem podataka berzanskih indeksa sa Sarajevske i Banjalučke berze, i to indeks SASX10, BIRS i BATX indeks. U analizu su uključeni podaci o dnevnom, sedmičnom i mjesečnom kretanju indeksa od 2006. godine do avgusta 2018. godine za indekse SASX 10 i BIRS, dok su podaci BATX dostupni od 2009. godine do avgusta 2018. godine. Testiranje forme tržišne efi kasnosti u Bosni i Hercegovini je izvršeno kroz tri statistička testa: test autokorelacije, „runs“ test i test racija varijanse. Rezultati dobijeni primjenom različitih testova ne daju jedinstven odgovor na pitanje da li fi nansijsko tržište u BiH funkcioniše na nivou slabe efi kasnosti. Testovi autokorelacije odbacuju hipotezu o slaboj efi kasnosti fi nansijskog tržišta, dok „runs“ test i test racija varijanse potvrđuju slabu formu tržišne efi kasnosti. Ovakvi nalazi sugerišu da nije moguće, sa dovoljnom preciznošću, predvidjeti trendove na fi nansijskom tržištu u Bosni i Hercegovini.
Ključne riječi: Hipoteza efi kasnog tržišta, autokorelacija, „runs“ test, test racija varijanse, fi nansijsko tržište u Bosni i Hercegovini.
