Comparing Stock Market Efficiency with Detrended Fluctuation Analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084501" target="_blank" >RIV/00216224:14560/15:00084501 - isvavai.cz</a>

Výsledek na webu

<a href="http://is.muni.cz/do/econ/sborniky/2015/EFS_2015_proceedings.pdf" target="_blank" >http://is.muni.cz/do/econ/sborniky/2015/EFS_2015_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Comparing Stock Market Efficiency with Detrended Fluctuation Analysis

Popis výsledku v původním jazyce

Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models are built. Therefore, before employing asset pricing models for the cost of capital calculations and stock performance predictability,we need to test the random walk properties of stock prices. EMH is closely related to random walk hypothesis that implies unpredictability of stock returns behavior on financial markets. The measure of the random walk content of stock returns is computed with detrended fluctuation analysis of Peng et al. (1994). According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in price returns within the studied time series. We measure scaling exponents (core measurement in DFA methodology) of financial markets for China and Germany, which are considered as emerging and developed economies.

Název v anglickém jazyce

Comparing Stock Market Efficiency with Detrended Fluctuation Analysis

Popis výsledku anglicky

Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models are built. Therefore, before employing asset pricing models for the cost of capital calculations and stock performance predictability,we need to test the random walk properties of stock prices. EMH is closely related to random walk hypothesis that implies unpredictability of stock returns behavior on financial markets. The measure of the random walk content of stock returns is computed with detrended fluctuation analysis of Peng et al. (1994). According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in price returns within the studied time series. We measure scaling exponents (core measurement in DFA methodology) of financial markets for China and Germany, which are considered as emerging and developed economies.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

European Financial Systems 2015. Proceedings of the 12th International Scientific Conference

ISBN

9788021079625

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

414-420

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000370679200055