Original title: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent
Authors: Ivanková, Kristýna ; Krištoufek, Ladislav ; Vošvrda, Miloslav
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Year: 2011
Language: eng
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.
Keywords: Efficient Market Hypothesis; Hurst exponent; isobar; isoquantile; stock market index
Project no.: CEZ:AV0Z10750506 (CEP), GD402/09/H045 (CEP), 118310
Funding provider: GA ČR, GA UK
Host item entry: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf
Original record: http://hdl.handle.net/11104/0204015

Permalink: http://www.nusl.cz/ntk/nusl-80994


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