Capital Market Hypotheses and Their Statistical Implications: A Comparative Study
| Author: | Bc. Petr Petras |
|---|---|
| Year: | 2014 - summer |
| Leaders: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 55 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/137564/ |
| Abstract: | In this bachelor thesis we focus on different Market Hypotheses. Specifically on Efficient Market Hypothesis, Fractal Market Hypothesis and Coherent Market Hypothesis. In the first part of the work we provide description of researched hypotheses and methods used for testing. In the second part of the work we run test on time series of share markets, gold markets and currency markets and test if our hypotheses can provide explanation about price changes on those markets. For Efficient Market Hypothesis we wonder if prices are following random walk (via augmented Dickey-Fuller test), if residuals are normally distributed (via Shapiro-Wilk and Jarque-Bera tests) and if residuals are uncorrelated (via Box-Pierce test). For Fractal Market Hypothesis we are trying to find value of Hurst exponent via Rescaled Range analysis. This exponent describes if time series are persistent or not. And for Coherent Market Hypothesis we develop simple method for testing if some time periods can yield above-average revenues, thanks to increased mean and decreased standard deviation. After that we find out what are consequences of short time series and different frequencies for obtaining data points and we learn that some hypotheses describes different time periods or lengths better and are not so good for different ones. |
