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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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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
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e-ISSN
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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