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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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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
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ISSN
2382-6797
e-ISSN
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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
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