Evolving Market Efficiency with an Application to Some Bulgarian Shares

With new technically advanced methods and computers at our disposal, the efficient market hypothesis is once again being debated. At the same time, we are witnessing an unprecedented growth in both existing and new financial markets. These new markets are often in economies which have just recently embraced free market economics; we term these stock markets infant markets. Such stock markets are obviously not efficient in allocating the supply of savings to productive capital. We do not test whether or not these infant markets are informationally efficient, but instead examine whether and how they are becoming more efficient. We propose modelling the excess returns of individual securities using a multi-factor model with time-varying coefficients and generalised auto-regressive conditional heteroskedastic (GARCH) errors. If the markets are becoming more informationally efficient or the agents are learning, we would expect this to manifest itself as the time-varying coefficients becoming more stable as time increases. We test our model using data on four Bulgarian shares. First, we estimate an AR(2) model and a GARCH-M(1,1) model for the shares. Then, we estimated our AR(2) model with time varying coefficients and GARCH type errors. We find varying levels of efficiency and varying speeds of movement towards efficiency within our sample of four shares.     

WORKING TOGETHER

Family Court of Australia has employed four Aboriginal Family Consultants within the Family Court Mediation Service in Darwin and Alice Springs. The consultants were selected from local indigenous people and assist indigenous families who are often in heated dispute over children following family breakdown and separation. The program ultimately seeks to promote access to justice for Aboriginal and Torres Stvait Islander people in the jurisdiction of family law. The program seeks to achieve this by assisting indigenous people to access and utilize the dispute resolution services provided by the Family Court. Family consultants work closely with court mediators in responding to the needs and issues of indigenous families in dispute. The article describes the model of intervention adopted and highlights the benefits of the program with reference to case studies.