On sectoral market efficiency

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00135325" target="_blank" >RIV/00216224:14560/24:00135325 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1016/j.frl.2023.104949" target="_blank" >https://doi.org/10.1016/j.frl.2023.104949</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2023.104949" target="_blank" >10.1016/j.frl.2023.104949</a>

Result language
angličtina
Original language name
On sectoral market efficiency
Original language description
A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2024
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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