Assessing BRIC Countries? Stock Market Efficiency with the Detrended Fluctuation Analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084502" target="_blank" >RIV/00216224:14560/15:00084502 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Assessing BRIC Countries? Stock Market Efficiency with the 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 is built. 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 stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, forwhich contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation an

Název v anglickém jazyce

Assessing BRIC Countries? Stock Market Efficiency with the Detrended Fluctuation Analysis

Popis výsledku anglicky

Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models is built. 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 stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, forwhich contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation an

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

7th International Conference Economic Challanges in Enlarged Europe

ISBN

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ISSN

2382-6797

e-ISSN

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Počet stran výsledku

11

Strana od-do

1-11

Název nakladatele

Tallinn University of Technology

Místo vydání

Tallinn

Místo konání akce

Tallinn

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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