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

SYSNO ASEP	0370121
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent
Author(s)	Ivanková, Kristýna (UTIA-B) Krištoufek, Ladislav (UTIA-B)_{RID, ORCID} Vošvrda, Miloslav (UTIA-B)_RID
Number of authors	3
Source Title	Mathematical Methods in Economics 2011. - Prague : Proffesional publishing, 2011 - ISBN 978-80-7431-058-4
Pages	s. 300-305
Number of pages	6 s.
Action	Mathematical Methods in Economics 2011
Event date	06.09.2011-09.09.2011
VEvent location	Jánska Dolina
Country	SK - Slovakia
Event type	EUR
Language	eng - English
Country	CZ - Czech Republic
Keywords	isoquantile ; Hurst exponent ; Efficient Market Hypothesis ; stock market index ; isobar
Subject RIV	AH - Economics
R&D Projects	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2012

Number of the records: 1