AUTHOR(S): 

Nikolay Netov, Ivan Ivanov, Boryana Bogdanova

TITLE

Time-Varying Stock Market Efficiency on the Balkan Refugee Route

KEYWORDS

Long-range dependence, wavelet transform, European Union, refugee crisis

ABSTRACT

Five German states will hold elections this year in preparation for federal elections in 2017. These votes will be a referendum on Merkel and her Christian Democratic Union, which has opened the doors to large masses of unassimilable foreigners. The German Federal Minister of Economic Cooperation and Development Gerd M?ller warned that only 10% of Syrian and Iraqi migrants have made it to Europe so far, and that “8 to 10 million are still on the way.” And, he warns, millions more are coming from Africa. This study focuses on one facet of this complex issue, the stock market efficiency reflection to the surge in asylum seekers in the European Union (EU). Market efficiency is investigated for a period of 7 years, between April 2009 and April 2016. A wavelet-based technique is utilized to the daily return series of the major stock indices of the eight stock markets on the Balkan refugee route (Greece, Turkey, Bulgaria, Serbia, Croatia, Hungary, Austria and Germany) in order to track the dynamics of the long-range dependence (LRD) parameter, since its value is closely related to the degree of returns predictability.

Cite this paper

Nikolay Netov, Ivan Ivanov, Boryana Bogdanova. (2016) Time-Varying Stock Market Efficiency on the Balkan Refugee Route. Mathematical and Computational Methods, 1, 247-252