Počet záznamů: 1
Measuring capital market efficiency: Global and local correlations structure
- 1.
SYSNO ASEP 0381818 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Measuring capital market efficiency: Global and local correlations structure Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID
Vošvrda, Miloslav (UTIA-B) RIDCelkový počet autorů 2 Zdroj.dok. Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371
Roč. 392, č. 1 (2013), s. 184-193Poč.str. 10 s. Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Capital market efficiency ; Fractal dimension ; Long-range dependence ; Short-range dependence Vědní obor RIV AH - Ekonomie CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000311003500019 DOI 10.1016/j.physa.2012.08.003 Anotace We introduce a new measure for capital market efficiency. The measure takes into consid- eration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. The proposed methodology is applied to a portfolio of 41 stock indices. We find that the Japanese NIKKEI is the most efficient market. From a geographical point of view, the more efficient markets are dominated by the European stock indices and the less efficient markets cover mainly Latin America, Asia and Oceania. The inefficiency is mainly driven by a local herding, i.e. a low fractal dimension. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2013
Počet záznamů: 1