Počet záznamů: 1

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

  1. 1.
    0370121 - UTIA-B 2012 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GD402/09/H045
    Grant ostatní: GA UK(CZ) 118310
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: isoquantile * Hurst exponent * Efficient Market Hypothesis * stock market index * isobar
    Kód oboru RIV: AH - Ekonomie
    http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0204015