Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent

0370121 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Ivanková, Kristýna - Krištoufek, Ladislav - Vošvrda, Miloslav
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 300-305. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : isoquantile * Hurst exponent * Efficient Market Hypothesis * stock market index * isobar
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf

This article extends our previous work on applications of isoquantile (formerly isobar) surfaces to market analysis. The approach is applied to lagged returns of selected stock market indices and compared to various estimations of the Hurst exponent. We evaluate the Efficient Market hypothesis by means of the two aforementioned approaches for the ASPI, BET, BUX, JSX, NASDAQ, PX and S&P500 indices. The more does a time series satisfy the EMH, the closer it resembles Brownian motion. In this case isoquantile surfaces form a circle and the Hurst exponent approaches 1/2.
Permanent Link: http://hdl.handle.net/11104/0204015