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Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F11%3A00175519" target="_blank" >RIV/62156489:43110/11:00175519 - isvavai.cz</a>

  • Result on the web

    <a href="http://proceedings.aip.org/resource/2/apcpcs/1389/1/426_1?isAuthorized=no" target="_blank" >http://proceedings.aip.org/resource/2/apcpcs/1389/1/426_1?isAuthorized=no</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1063/1.3636754" target="_blank" >10.1063/1.3636754</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

  • Original language description

    The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperformthe market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Others

  • Publication year

    2011

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011: International Conference on Numerical Analysis and Applied Mathematics, AIP Conference Proceedings

  • ISBN

    978-0-7354-0956-9

  • ISSN

  • e-ISSN

  • Number of pages

    4

  • Pages from-to

    426-429

  • Publisher name

    American Institute of Physics

  • Place of publication

    Melville, New York

  • Event location

    Halkidiki, Greece

  • Event date

    Sep 19, 2011

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    302239800105