Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F20%3A83801" target="_blank" >RIV/60460709:41110/20:83801 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s11293-020-09686-y" target="_blank" >https://link.springer.com/article/10.1007/s11293-020-09686-y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11293-020-09686-y" target="_blank" >10.1007/s11293-020-09686-y</a>
Alternative languages
Result language
angličtina
Original language name
Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?
Original language description
Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of consecutive returns. This paper provides a brief excursion into the history of capital market research. A measure of long-range dependence (Hurst exponent) was applied to daily returns of selected stock indices and individual firms. The Hurst exponent was estimated using rescaled range analysis. The estimates are based on an unusually large sample of empirical-time series from capital markets. This method distinguishes whether the data-generating process follows random walk or exhibits antipersistent or persistent behavior. Both the efficient market hypothesis and modern portfolio theory assume that the data-generating process has no memory, i.e. follows Brownian motion. The random walk process is characterized by a Hurst exponent value of 0,5. Values greater than 0,5 and less than 1 indicate a persistence of local trends. Values between 0 and 0,5 indic
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Atlantic Economic Journal
ISSN
0197-4254
e-ISSN
1573-9678
Volume of the periodical
neuvedeno
Issue of the periodical within the volume
N
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
15
Pages from-to
1-15
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85097202057