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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

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • 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

  • EID of the result in the Scopus database

    2-s2.0-85097202057