Ivanková, K. & Krištoufek, L. & Vošvrda, M.: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent
| Author(s): | Mgr. Kristýna Ivanková , prof. PhDr. Ladislav Krištoufek Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
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| Type: | Article in collection |
| Year: | 2011 |
| Number: | 0 |
| ISSN / ISBN: | 978-80-7431-060-7 |
| Published in: | Mathematical Methods in Economics Proceedings (1), pp. 300-305 |
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| Keywords: | isoquantile, isobar, Hurst exponent, Efficient Market Hypothesis, stock market index |
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| Grants: | 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications |
| Abstract: | 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. |
| Downloadable: |
Ivankova_Kristoufek_Vosvrda_MME_2011 |
