Název:
Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent
Autoři:
Ivanková, Kristýna ; Krištoufek, Ladislav ; Vošvrda, Miloslav Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Rok:
2011
Jazyk:
eng
Abstrakt: 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.
Klíčová slova:
Efficient Market Hypothesis; Hurst exponent; isobar; isoquantile; stock market index Číslo projektu: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP), 118310 Poskytovatel projektu: GA ČR, GA UK Zdrojový dokument: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4