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Assessing BRIC Countries? Stock Market Efficiency with the Detrended Fluctuation Analysis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084502" target="_blank" >RIV/00216224:14560/15:00084502 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Assessing BRIC Countries? Stock Market Efficiency with the Detrended Fluctuation Analysis

  • Original language description

    Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models is built. According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, forwhich contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation an

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2015

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    7th International Conference Economic Challanges in Enlarged Europe

  • ISBN

  • ISSN

    2382-6797

  • e-ISSN

  • Number of pages

    11

  • Pages from-to

    1-11

  • Publisher name

    Tallinn University of Technology

  • Place of publication

    Tallinn

  • Event location

    Tallinn

  • Event date

    Jan 1, 2015

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article